This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

This article uses the DCC–FIAPARCH model to examine the time-varying properties of conditional return and volatility of crude oil and US stock markets as well as their dynamic correlations over the period 1988–2013. Our results indicate that both the long memory and asymmetric behavior...

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns of the BRICS countries evolve according...

In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We...

We use univariate and multivariate GARCH-type models to investigate the properties of conditional volatilities of stock returns and exchange rates, as well as their empirical relationships. Taking three European stock markets and two popular US dollar exchange rates as case study, our results...

This study applies bootstrap panel causality, proposed by Kónya (2006), to investigate causal link between political uncertainty and stock price for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both the cross-sectional...

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...