This paper studies the presence of day-of-the-week (DOW) effect in financial contagion process observed on individual economic sectors from Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout 2008 crisis are Poland, Romania and Russia. novel methodology combines two existing perspectives literature, by employing a GJR-GARCH ...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) model dependence structure underlying assets with some selected listed stock indices. We filtered return residuals using stochastic volatility GJR-GARCH (1,1) models different distributions, we best-fitted in ...

Abstract We investigate the effect of estimation error on backtests expected shortfall (ES) forecasts. These are based first-order conditions a recently introduced family jointly consistent loss functions for value-at-risk (VaR) and ES. For both single multiperiod horizons, we provide explicit expressions additional terms in asymptotic covariance matrix that result from error, propose robust te...

This paper investigates the price returns and volatility linkages between the foreign exchange (KRW) and stock (KOSPI) markets in Korea, using the cointegration test, and bivariate GJR-GARCH model. Our findings from empirical analysis are summarized as follows. First, there is no long-term equilibrium relationship between the KRW and KOSPI markets. Second, exogenous variables (yen/dollar exchan...