Market efficiency is among the foremost criteria for making investment decisions when foreign investors attempt to allocate their funds to emerging market assets. If the markets under consideration are efficient, quoted prices of the assets will serve as useful and reliable signals for capital...

We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis to investigate the dynamic behavior of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme movements and...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian real exchange rate (TRER). Empirically, three long memory tests are implemented to examine the long-range dependence in the processes of Tunisian REER. All long memory tests that we used are based on...

The aim of this work is to propose a new sequential strategy-three steps testing procedure- based on recently introduced econometric techniques, in order to assess the meanreverting properties of the real exchange rate and to check whether real exchange r

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and