This study examines the dynamic relationships among foreign investors' trading behavior, stock returns, and sovereign CDS spread changes in Korea. Our findings show that the stock return (CDS spread change) rises (declines) in response to shocks to net foreign flows into the stock market on the...

This paper examines the degree of market integration, as observed by measuring volatility spillovers, in selected wholesale electricity spot markets from United States. We choose markets located at interconnected and non-interconnected areas. We use a Multivariate GARCH framework, which allows...

In this paper, we estimate the effects of the COVID-19 pandemic on the banking system and the real economy and simulate potential policy responses. We combine machine learning algorithms, namely a Random Regression Forest and a Long Short Term Memory neural network, with an agent-based framework...

This paper discusses the volatility spillovers between the Greek Debt crisis and the Cypriot financial crisis. Cyprus was in the spotlight of financial markets due to significant problems stemming from the banking sector, which were dealt with by EU regulators with a bail-in on bank deposits....