Research background: Financial globalization has opened international capital markets to investors and companies worldwide. However, the global financial crisis created big volatility in stock prices that induces a restriction reflection of full information. We explore ten EU Member States (France, Germany, The United Kingdom, Belgium, Bulgaria, Romania, Greece, Portugal, Ireland, Spain), USA. ...

One puzzling behavior of asset returns for various frequencies is the of ten observed positive autocorrelation at lag To some extent this can be explained by standard asset pricing models when assuming time varying risk premia However one often nds better results when directly tting an autoregressive model for which there is little economic foundation One may ask whether the underlying process ...

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...

The COVID pandemic reveals the fragility of global financial market during rare disasters. Conventional safe-haven assets like gold can be used to hedge against ordinary risks, but tail dependence substantially reduce hedging effectiveness. In contrast, green bonds focus on long-term, sustainable investments, so they become an important tool climate as well disasters COVID. copula approach base...

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics and randomness Pakistan Stock Exchange (PSX-100) obtain insights into behavior investors during before coronavirus disease (COVID-19 pandemic). paper aims to present estimations quantification PSX-100. methodology includes two approaches: (i) implementation EGARCH, GJR-GARCH, TGARCH mode...

This study provides evidence of the impact COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, Oil and Gas, Food Beverages, Consumer Goods). To achieve goal this paper, daily stock prices were obtained from a secondary source ranging 2 January 2020 to 25 March 2021. Because importance incorporating structural breaks in modelling returns, Zivot–Andrew...

I n this paper, the evaluation of the real exchange rate transfer and the asymmetric transmission of real exchange rate fluctuations to the export prices of food products for the country during the period (2001-2015) was studied using two approaches of PMG and GMM systems. The TGARCH method was used to calculate the real exchange rate fluctuation index and the Markov Switching method was u...