Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market indices, or other portfolios is of great importance to professional fund managers and individual investors alike. Our research uses the cross-sectional intrinsic entropy (CSIE) model...

This paper investigates the benefits of jointly using several realized measures in predicting daily price volatility, Value-at-Risk, and Expected Shortfall in the Australian electricity markets of New South Wales, Queensland, and Victoria. We propose using Realized GARCH-type models with...

The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy for the Tadawul All Share Index (TASI) and the Tadawul...

This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset,...

Analyzing social systems, particularly financial markets, using a complex network approach has become one of the most popular fields within econophysics. A similar trend is currently appearing within the econometrics and finance communities, as well. In this study, we present a...

The paper explores the relationship between education, digitalization, and financial development between 1996 and 2019 with the aim of showcasing the differences between developed and emerging economies in Europe. We use a Bayesian VAR framework that includes variables related to education,...

On 3 April 2016, Mossack Fonseca provided the historically most significant leak of its shareholder’s data for owning offshore companies. Shareholders include many political and influential figures around the globe, which causes a moral hazard. The study analyses the effects of Panama leak...

Given the high resilience of the Central and Eastern Europe (CEE) banking sectors during the last financial crisis and their major role in the CEE region in financing the economy and supporting the high growth rates achieved there, our paper investigates the determinants of banking profitability...

This paper analyzes stock returns for biotechnology firms after initial public offering (IPO) and explores the effect of social media-specifically, Twitter-on these returns. The results indicate positive yet insignificant cumulative average abnormal returns (CAARs) of 1.97% in the first 25 days...

The Autoregressive Conditionally Heteroscedastic (ARCH) model is useful for handling volatilities in economical time series phenomena that ARIMA models are unable to handle. The ARCH model has been adopted in many applications that contain time series data such as financial market prices,...