In financial markets, the risk of one bank can spill over into the risk of another. Risk contagion is more common when financial markets are fragile. This study explores the dynamics of non-linear dependence and risk spillovers between stock returns of banking and financial sectors in the...

This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate). For this purpose, we assess the performance of two long memory Value-at-Risk...

Purpose: Motivated by the news media and a lack of comprehensive research on the USA, the purpose of this paper is to examine the relationship between changes in road fatalities and gasoline prices, per capita disposable personal income, alcohol consumption per adult, blood alcohol...