The purpose of this study is in three folds. First we look at the linkage between Eastern European emerging equity markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech Republic. Finally, we examine the interdependence between...

This study considers the impact of foreign and local macroeconomic announcements on emerging Eastern European stock markets. Stock market and macroeconomic news from 2006-2010 for Russia, Poland, Hungary and the Czech Republic are analyzed for differences across countries and to determine...

The purpose of this paper is to investigate the effect of corporate governance quality and ownership structure on the relationship between the agency cost and firm performance. Both the fixed-effects model and a more robust dynamic panel generalized method of moment estimation are applied to...

We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins by using the EGARCH model for return...

This study considers the linkage of the Russian equity market to the world market, examin-ing the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner (1995). We find evidence of direct linkage between the Russian equity...

In this paper we investigate whether inflation and currency risks are priced in the Korean, Malaysian and Taiwan stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH...

The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We...

The purpose of this study is two fold. First we look at the international linkage of Russian equity market and second we examine the international transmission of the 1998 Russian financial crisis. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995). Four pair-wise...

Extensive work has been done on the modeling of financial time series, both theoretically and empirically, on developed markets of Europe, Asia and United states. There exist sufficient literature on volatility modeling of emerging markets as well, such as, of Latin America, Eastern and Central...