We consider a non-stationary regression-type model for stock returns in which the innovations are described by four-parameter distributions and the parameters are assumed to be smooth, deterministic functions of time. Also incorporating normal distributions for modelling the innovations, our...

We present a new profitable trading and risk management strategy with transaction cost for an adaptive equally weighted portfolio. Moreover, we implement a rule-based expert system for the daily financial decision-making process using the power of spectral analysis. We use several key components...

Purpose – The purpose of this paper is to investigate the time-varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets. Design/methodology/approach – This paper uses nonlinear ARCH and GARCH-family models for...

Purpose – The purpose of this paper is to investigate the time‐varying risk return relationship and the persistence of shocks to volatility within GARCH framework both in developed and emerging markets. Design/methodology/approach – This paper uses nonlinear ARCH and GARCH‐family models...

Purpose – The economic system is an expectation's feedback system, thus decisions made by economic agents are based on their expectations about the future state of the economy. These decisions affect actual realization of economic variables and this process leads to the new expectations. For a...

The current Special Issue brought out the newest trends in Econophysics that have made use of the most recent available tools, such as Big Data. The emphasis of the reprint is on deciphering the effects of current world events, such as the repercussions of the recent war conflicts, the oil and...

This paper proposes a new approach to measure dependencies in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes within the dependence structure. Recently, two methods have been proposed using copulas...

Most of the existing technical trading rules are linear in nature. This paper investigates the predictability of nonlinear time series model based trading strategies in the U.S. stock market. The performance of the nonlinear trading rule is compared with that of the linear model based rules. It...