The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between...

We present evidence of significant bias in event studies that investigate the effect of U.S. monetary policy on U.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which argues that an economy with a fixed exchange rate and...

VaR_Delta-Normal is derived from a Put option, named PVaR_Delta-Normal and Expected_Shortfall, PSF_Delta-Normal – the latter a coherent measure – guaranteeing VaR can never be larger than the fund value. Current standard VaR_Delta-Normal uses covariances calculated from the entire...

The study examines the volatility linkages between India and Asian tiger cubs, i.e., the Philippines, Indonesia, Malaysia, and Thailand. It aims to explore the spillover effects of volatility among these countries' stock markets to provide valuable insights to investors and policymakers. To...

This paper aims at contributing to the international portfolio investment decisions among the emerging BRICS countries where individual and institutional investors seek diversification benefits and to help in advocating policy changes and implementation as a response to the changing dynamics in...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

Vector autoregressive models are increasingly being used in the analysis of relationships within and between financial markets. In such models, there are circumstances that require zero entries in the coefficient matrices. Such circumstances can be particularly relevant in the context of markets...

In this study we examine the role of the Euro on currency co-movements and contagion considering six major currencies (i.e., EUR(DM), JPY, GBP, CHF, AUD, as well as, CAD) and their corresponding USD exchange rates. The period of study extends from January 2, 1975 to April 8, 2016. The selected...