Since the last three decades, advanced economies have been facing a substantial rise not only in the crude oil price but also in the oil price volatility. Quantifying the tail risk has become a prominent issue for investment decisions and risk management. This article reveals the existence of a...

Using the Tsay (1988) outlier identification methodology on daily log-returns of 16 commodity spot price series and 25 commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between January 1, 1997 and December 31, 2007. Results...

A growing literature has employed the existing generalized spillover measures of Diebold and Yilmaz (2012, 2014) to measure the connectedness—or market integration—of cryptocurrencies. This method, while useful, does not properly control for the cross-correlations of the cryptocurrencies...

Wavelets based on undifferenced cash and futures log are used to determine causality in the aluminum markets. Wavelets are used versus I(d) processes as daily I(d)s adjusted for conditional heteroskedasticity, are not second-order stationary. Weekly I(d)s are second-order stationary after...

This paper is a substantially revised version of our earlier working paper, "Truth and Robustness in Cross-country Growth Regressions." The most important revisions concern the handling of missing observations in the cross-country data set. In the earlier paper, these had been handled through...

The paper discusses the socio-economic challenges and their systemic features in the conditions of the COVID-19 pandemic as in the context of global as individual countries. The significant effect, such as increasing socio-economic uncertainty is analyzed. The research shows that in the...

The main purpose of the study presented in the paper is to reveal some important macroeconomic and cultural features of the economic crisis caused by the COVID-19 pandemic. The study used the methods of system analysis and modeling. Since the source of the crisis was not the economy but the...

In this study a composite indicator is constructed to rank macroeconomic performance of countries and a separate composite indicator is constructed to rank countries by inequality using the TOPSIS methodology of Multiple Criteria Decision-Making Analysis. The intuitive idea of TOPSIS is to...

The work of Levine and Renelt (1992) and Sala-i-Martin (1997a, b) which attempted to test the robustness of various determinants of growth rates of per capita GDP among countries using two variants of Edward Leamer's extreme-bounds analysis is reexamined. In a realistic Monte Carlo experiment in...