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Contagion effect of migration fear in pre and European refugee’s crisis period: evidence from multivariate GARCH and wavelet empirical analysis
To test the contagion effect of fear migration between countries, and to show its causality direction, our paper contributes to the economic...
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Forecasting cryptocurrencies returns: Do macroeconomic and financial variables improve tail expectation predictions?
This study aims to jointly predict conditional quantiles and tail expectations for the returns of the most popular cryptocurrencies (Bitcoin,...
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Instability of government revenues and expenditures: implications for budget deficit in Pakistan
This study investigated the impact of Pakistan's government revenue and expenditure instabilities on its budget deficit from 1972 to 2018. Following...
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A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war
We explore the application of spectral methods in risk management as means of validating VaR models. We propose to replace earlier spectral VaR tests...
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Volatility spillover and dynamic co-movement of foreign direct investment between Malaysia and China and developed countries
This study delves into the relationship between Malaysia and several countries—China, Singapore, Japan and the United States of America (USA),...
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Multinational Companies’ Hedging Effectiveness of Foreign Exchange Risk: A Quantitative Comparison Study
To investigate hedging effectiveness of multinational companies in respect of using currency derivatives, the author adapts an innovative and multi...
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Computing impulse response functions from a copula-based vector autoregressive model: evidence from the italian agri-food value chain
We investigate the presence of asymmetric vertical price contagions in the Italian pork market, describing the multiple dependence structure along...
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Modelling the lexical complexity of homogenous texts: a time series approach
Lexical complexity of homogeneous texts, especially when produced by an institutional author over time, exhibits a generally observed increasing...
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The impact of COVID-19 pandemic on the dynamic correlations between gold and U.S. equities: evidence from multifractal cross-correlation analysis
This study exploits multifractal cross-correlation analysis (MFCCA) to investigate the impact of the COVID-19 pandemic on the cross-correlations...
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Wavelet coherence analysis and exchange rate movements
In this study, we examine the volatility of exchange rates to exogenous monetary shocks by dividing the volatility into subsections of...
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Has COVID-19 changed the travel & tourism stock market behavior in the USA?: Case of Dow Jones U.S. Travel & Tourism and S&P 500 indexes
Tourism, a vital sector for many countries, faced unique challenges during the COVID-19 pandemic. The industry was profoundly affected as lockdowns...
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Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom
Using the quarterly data of the United Kingdom (UK) for the period from 1975Q1 to 2016Q1, the paper analyses the dynamic and the asymmetric responses...
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Deep diving into the S&P Europe 350 index network and its reaction to COVID-19
In this paper, we analyse the dynamic partial correlation network of the constituent stocks of S&P Europe 350. We focus on global parameters such as...
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Real Estate Pension Schemes: Modeling and Perspectives
The paper is focused on a contractual scheme where an immediate life annuity is obtained by paying a single premium in the form of real estate rights...
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The U.S. Nonfarm Payroll and the out-of-sample predictability of output growth for over six decades
We examine the predictive prowess of the U.S. Nonfarm Payroll (USNFP) for output growth in the U.S. covering over six decades from 1947 to 2021....
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Identification of house price bubbles using robust methodology: evidence from Polish provincial capitals
This article aims to check whether there has been a price bubble in the Polish major housing markets in recent years. To accomplish this goal, the...
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An empirical comparison of correlation-based systemic risk measures
Despite the growing attention in the last years on the topic of systemic risk, a widely accepted definition of systemic crisis is missing. We use a...
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Financial dollarization and its effects on inflation and output in Turkey: a machine learning approach
This study aims to examine the consequences of dollarization on the effectiveness of monetary policy in Türkiye, a nation with a long history of high...
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The applicability of the speculative frame method for detecting disturbances on the real estate market: evidence from Poland
The article presents the speculative frame method for analysing the real estate market, identifying market tensions, small shocks and price bubbles....
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Modeling Relationship Between Cocoa Beans Commodity Export Volatility and Stock Market Index (KLCI)
Volatility of stock market plays important roles in investment world. Since the export of cocoa has a great contribution in increasing Malaysia’s...