This paper introduces several new Bayesian nonparametric models suitable for capturing the unknown conditional distribution of realized covariance (RCOV) matrices. Existing dynamic Wishart models are extended to countably infinite mixture models of Wishart and inverse-Wishart distributions. In...

This research investigates the presence of structural breaks in the indices of the Egyptian stock market using the Bai-Perron strcutural breaks test. The indices used are the EGX 30, the EGX 70, the EGX 100, and the EGX 20. The presence of long memory is then investigated using the GPH test and...

This paper examines sector specific volatility in order to determine how different sectors respond to volatility shocks within the same equity market. The Egyptian Exchange sector indices are used where firms are disaggregated and classified into twelve different sectors. Volatility is modeled...

This paper compares the forecasting performance of three structural econometric models, namely the non-parametric, ARIMAX and the Kalman filter models, in predicting stock returns in an emerging market economy using South Africa as case study. The proposed models have different functional forms....

In many settings of empirical interest, time variation in the distribution parameters is important for capturing the dynamic behaviour of time series processes. Although the fitting of heavy tail distributions has become easier due to computational advances, the joint and explicit modelling of...

The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...

We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

Ratios involving the current period opening price and the high or low price of the previous period are significant predictors of the current period high or low price for many stocks and stock indexes. This is illustrated with daily trading data from the S&P 500 index. Regressions specifying...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...