This paper puts forward an alternative semiparametric regression approach to a nonlinear ACD modeling. The semiparametric functional form of the dependence of the conditional intensity on past durations suggests that the model be called the Semiparametric ACD (SEMI-ACD) model. The development of...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

With the growing number of stocks and other financial instruments in the investment market, there is always a need for profitable methods of asset selection. The Fama-French three factor model, makes the problem of asset selection easy, by narrowing down the number of parameters, but the usual...