This paper provides empirical evidence that Croatian companies manage reported earnings to avoid losses and earnings declines. Specifically, we find that the cross-sectional distribution of scaled earnings and changes in earnings show high frequencies of small positive earnings and small...

Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...

The assets of the hedge fund industry are nearly equivalent to the GDP of the UK. The industry, which claims returns independent of markets conditions and has been blamed for economic crises, has attracted the interest of a wide range of financial and political players and academics. This paper,...

Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the information flow, we claim that cross-market volatility transmission effects are synonymous to cross-market information flows or “information channels” from one market to another. Based on this assertion...

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the...

In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to investigate whether an inter-day or an intra-day model provides accurate predictions. We investigate the performance of inter-day and intra-day volatility models by estimating the...

One of the most important environmental health issues is air pollution, causing the deterioration of the population’s quality of life, principally in cities where the urbanization level seems limitless. Among ambient pollutants, carbon monoxide (CO) is well known for its biological toxicity....

Accurate volatility forecasting is a key determinant for portfolio management, risk management and economic policy. The paper provides evidence that the sum of squared standardized forecast errors is a reliable measure for model evaluation when the predicted variable is the intra-day realized...

The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect...

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...