This paper investigates the issue of temporal ordering of the range-based volatility and volume in the Indian stock market for the period 1995-2007. We examine the dynamics of the two variables and their respective uncertainties using a bivariate dual long-memory model. We distinguish between...

In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervisory purposes, and/or information collected by market participants for the purpose...

Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...

We applied the fractional integration approach to measure inflation deviation inertia in an emerging economy under an inflation targeting regime, as well as to control for potential determinants of such a deviation. We did not base our analysis on typical unit root tests, as we identified a...

In the present paper we concentrate on the interaction and sharing of the information between the organized markets in the Czech Republic. Moreover, the interesting principal-agent problem between the Prague Stock Exchange (PSE) and RMS (over the counter system) is studied to identify the...

In the 1950s and 60s, the American view of foreign direct investment(FDI) in emerging markets, then called less-developed or developing countries, was that it was desirable for three reasons: as a vehicle for economic development and a partial substitute for foreign aid; to promote economic...

This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear...

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...