In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

This paper analyses the foreign exchange rate exposure of Hungarian firms and its determinants on the basis of corporate cash flows and stock prices. The analysis focuses on the HUF/EUR exchange rate using monthly data from 2000 - 2014, resp. 2003 - 2012 in case of cash flow analysis. Stock...

In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves...

Value-at-Risk (VaR) has become the universally accepted metric in the financial services industry for internal control and for regulatory reporting. This has focused attention on methods of measuring, estimating and forecasting lower tail risk. One promising technique is Quantile Regression...

Return-volume relationships are of common interest as they may unearth dependencies that can form the basis of profitable trading strategies, and this has implications for market efficiency. This study investigates the dynamics of relationship between trading volume and returns of Nigerian...