This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient...

We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another...

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models....

This paper investigates the relationship between the BRICs’ and the advanced economies’ stock markets from 2000 to 2016 utilizing continuous wavelet transform. The continuous wavelet transform allows us to explore these relationships in the time-frequency domain to capture short- and...

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two "safe-haven" assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are...

Rising concerns over climate change have increased investors’ and policymakers’ interests in environmentally friendly investments, which have led to the rapid expansion of the green equity market recently. Previous studies have focused on analyzing the green equity market at the aggregate...

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

In the contemporary world bustling with global trade, a natural disaster or financial crisis in one country (or region) can cause substantial economic losses and turbulence in the local financial markets, which may then affect the economic activities and financial assets of other countries (or...

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...