Using the daily data covering both the first and second wave of COVID-19 pandemic over the period from March 3, 2020, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two proxies of the COVID-19 fear. However, in all the cases, the...

Using panel smooth transition regression framework on a new proxy of business cycle (BC) index and quarterly data of US bank holding companies from 1993Q1 to 2020Q1, our results provide the empirical support to the theory that BC has non-linear effect on liquidity creation. We find a positive...

This study investigates the forecasting power of implied volatility indices on forward looking returns. Prior studies document that negative innovations to returns are associated with increasing implied volatility of the underlying indices; thus, suggesting a possible relationship between...

The aim of this study is to examine the month and the trading month effect under changing financial trends. We choose the Greek stock market to implement our assumption because there are clear and long term periods of financial growth and recession. Daily financial data from Athens Exchange...

This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate...

The purpose of this paper is to examine the impact of terrorism on tourism demand in Greece using monthly data from 1977 to 2012. We investigate whether this relationship is bidirectional and whether it exhibits long run persistence. Thus, we employ a large dataset of terrorist incidents and...

This paper investigates financial contagion as an asymmetric propagation mechanism across both equity and foreign exchange markets. In order to provide a robust analysis of the contagion dynamics, we apply an asymmetric generalized dynamic conditional correlation (AG-DCC) model. This...