This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional...

GARCH models have been extensively used in risk modeling under the normal distribution. Although they generate highly significant coefficient estimates, these models are known to have poor forecasting power. It is therefore interesting to develop a different approach of risk modeling to improve...

This paper presents a practical framework to test chaotic dynamics even for noisy systems as opposed to stochastic dynamics. It elaborates an-easy-to-use and comprehensive algorithm to build a program to test chaos based on theoretical studies. A version of MATLAB m-code is provided in the...

The study of financial shock propagation across markets has motivated numerous researchers to investigate the mechanisms of return and volatility spillovers to prevent harmful shock transmission. This article studies the contemporaneous spillovers by employing a structural vector autoregressive...