This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and emerging stock markets during the...

In this article, we use the dual long memory properties to assess the value-at-risk and expected shortfall for the Argentinean stock market under both short and long daily trading positions. We attempt to show whether considering for long memory properties in both the returns and volatility,...

This paper examines the determinants of European bank risk-taking during major financial crisis. Using a sample of banks from 26 countries over the period 2005-2015, we examine the nature of the relationship between bank risk, bank characteristics, regulatory, institutional and macroeconomic...

This paper examines the determinants of European bank risk-taking during major financial crisis. Using a sample of banks from 26 countries over the period 2005–2015, we examine the nature of the relationship between bank risk, bank characteristics, regulatory, institutional and macroeconomic...