Volatility clustering is a well-known stylized feature of financial asset returns. This paper investigates asymmetric pattern in volatility clustering by employing a univariate copula approach of Chen and Fan (2006). Using daily realized kernel volatilities constructed from high frequency data...

This paper investigates the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models. The model is implemented using an AR (p)-GARCH...

The objective of this article is to disentangle the combined effect of product market competition and corporate governance variables on firm performance. While the linkage between internal governance mechanism and firm performance is well established in several studies, the interaction between...

This paper estimates the aggregate demand for gasoline in Senegal from 1970 to 2008. The long-term and short-term elasticities of demand with respect to gasoline prices and income are of paramount interest in this study. In Senegal, rising food prices, unemployment and shortage of electric...

In order to complement the macro-prudential framework introduced in Basel III, we propose a new breed of indicators based on the degree of leverage which helps track the time-varying dimension of bank systemic risk—a key aspect of financial stability. Given the new sources of liquidity...

Volatility plays an important role when managing risks, composing portfolios, and pricing financial instruments. However it is not directly observable, being usually estimated through parametric models such as those in the GARCH family. A more natural empirical measure of daily returns...

For high-dimensional risk aggregation purposes, most popular copula classes are too restrictive in terms of attainable dependence structures. These limitations aggravate with increasing dimension. We study a hierarchical risk aggregation method which is flexible in high dimensions. With this...

We examine how oil prices and exchange rates co-move using two measures of dependence: correlations and copulas and document two main findings for crude oil prices and a range of currencies: oil price–exchange rate dependence is in general weak, although it rose substantially in the aftermath...

We propose the use of stochastic frontier approach to modelling financial constraints of firms. The main advantage of the stochastic frontier approach over the stylised approaches that use pooled OLS or fixed effects panel regression models is that we can not only decide whether or not the...

This paper examines the relationship between oil prices and the US dollar exchange rate using detrended cross-correlation analysis. For a wide set of currencies in the periods before and since the onset of the recent global financial crisis, we characterized the oil price–exchange rate...