The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data used for analysis comprised the daily closing...

Political instability has increased drastically in Pakistan during the last few decades. This may intensify the fear of investors and eventually affect investment decisions. Therefore, the stock market's reaction to political stability must be explored and appropriate policy measures should be...

We investigate the return and volatility spillovers from major UK banks to Financial Times Stock Exchange 100 (FTSE 100) index using Gaussian estimation and continuous time models as well as discrete time multivariate GARCH (MGARCH) modelling approaches. Using daily, weekly and monthly data over...

This study explores volatility spillovers and financial connectedness between conventional and Islamic equity stock markets in developed, emerging, and frontier economies. Four regions- Gulf Cooperation Council (GCC), South Asian Association for Regional Cooperation (SAARC), Brazil, Russia,...