The recent literature on time series has developed a lot of models for the analysis of the dynamic conditional correlation, involving the same variable observed in different locations; very often, in this framework, the consideration of the spatial interactions are omitted. We propose to extend...

Recent econometric and statistical models for the analysis of volatility in financial markets serve the purpose of incorporating the effect of other markets in their structure, in order to study the spillover or the contagion phenomena. Extending the Multiplicative Error Model we are able to...

The empirical evidence behind the dynamics of high frequency based measures of volatility is that they exhibit persistence and at times abrupt changes in the average level by subperiods. In the past ten years this pattern has a clear interpretation in reference to the dot com bubble, the quiet...

The classification of volatility of financial time series has recently received a lot of contributions - in particular using model based clustering algorithms. Recent works have evidenced how volatility structure can vary along time, with gradual or abrupt changes in the coefficients of the...

In the last decades, the interest in the relationship between crime and business cycle has widely increased. It is a diffused opinion that a causal relationship goes from economic variables to criminal activities. This work aims to verify this proposition by using the dynamic factor model to...

This paper uses the multi-chain Markov Switching model to examine the nature of the volatility transmission across currency, commodity and stock markets, and provide implications for hedging and asset allocation. Results generally indicate the dominant presence of interdependency, as opposed to...

Clustering financial time series is a recent topic of statistical literature with important fields of applications, in particular portfolio composition and risk evaluation. The risk is generally linked to the volatility of the asset, but its level of predictability also plays a basic role in...

Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the...

This study examines the volatility transmissions across the Gulf Arab states (GCC) stock markets and the linkages between these markets and the United States stock and oil markets, using the Multi-chain Markov Switching model. This approach enables the distinction between different transmission...

This paper extends the VAR methodology to examine the consequences of monetary policy decisions by considering two types of nonlinearities in the determination of official interest rates - 1) the asymmetry related to the different nature of the discrete and infrequent positive and negative...