This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock market volatility at different maturities during the period January 3, 2011-May 4, 2018. To this end, we first perform a static analysis to measure...

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to...

In this paper we investigate the profitability of non-linear trading rules based on nearest neighbor predictors. Applying this investment strategy to the New York Stock Exchange, our results suggest that, taking into account transaction costs, the non-linear trading rule is superior to a...

In this paper we assess the economic significance of the nonlinear predictability of EMS exchange rates. To that end, and using daily data for nine EMS currencies covering the 1st January 1978-31st December 1994 period, we consider nearest-neighbour nonlinear predictors, transforming their...

This paper investigates the profitability of a simple and very common technical trading rule applied to the General Index of the Madrid Stock Market. The optimal trading rule parameter values are found using a genetic algorithm. The results suggest that, for reasonable trading costs, the...

In this paper we assess whether some simple forms of technical analysis can predict stock price movements in the Madrid Stock Exchange. To that end, we use daily data for General Index of the Madrid Stock Exchange, covering the thirty-one-year period from January 1966-October 1997. Our results...

This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire...

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to September 2011), with all...

We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanatory factors from a wide set of variables like the yield curve of Spain, US and Europe, as well as several macro variables, and numerous...

We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in the single-blind controlled competition tests for nonlinearity and chaos that were generated by Barnett et al. (1997),...