The informational efficiency is the central backdrop among researchers in the quest of behavioural finance since Fama (J Financ 25:383–417, 1970). The succession of time has witnessed the dramatic transformation in the field of global stock markets over the years, and subsequently the...

We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity 'droughts.' We illustrate the explanatory power of a survival...

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Abstract This paper investigates the nature of shocks across international equity markets and evaluates the shifts in their comovements at a business-cycle frequency. Using an “identification through heteroskedasticity” methodology, we compute the impact coefficients on the common and...

The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009-09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...

Using a novel three-phase model based upon a conditional autoregressive Wishart (CAW) framework for the realized (co)variances of the Dow Jones and the German stock index DAX, we analyze intra-daily volatility spillovers between the US and German stock markets. The proposed model explicitly...

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....

This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...