In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure noise. The problem of assessing the validity of latent...

This study examines the spillover and connectedness network among the United States and the Association of Southeast Asian Nations (ASEAN)+6 stock market returns during times of uncertainty in the world economy, such as the COVID-19 pandemic and the conflict between Russia and Ukraine. The...

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

This study examines the cointegrating and long-term causal relationships of equity market prices in equity markets of Chinese states namely, Shanghai, Shenzhen, Hong Kong, Taiwan and Singapore. I cover the period between October 5, 1992 and March 20, 2006, taking into account both the Asian...