This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange by using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov switching framework. Modelling stock returns within...

This paper examines the issue of mean and variance causality across four equity markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers among the stock markets of Cyprus, Athens, London...

This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov-Switching framework. Modelling stock returns within this...

A recent line of research views the low interest-rate environment of the early to mid 2000s as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 18000 annual observations on euro area banks over the period 2001-2008 and presents...

The financial crisis of 2007-2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-risk as a measure for potential risk of economic losses in financial markets by estimating...

In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or...

Purpose – The purpose of this paper is to focus on the specific “shareholder's” concept of transparency. Design/methodology/approach – It considers that indirect securities holding systems limit the degree of “post-trading” transparency. The main concern is that an adverse effect of...