The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...

This paper uses the novel quantile coherency approach to examine the tail dependence network of 49 international stock markets in the frequency domain. We find that geographical proximity and state of market development are important factors in stock markets networks. Both the short- and...

Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and spillbacks during and beyond financial crisis. The effects...

The global financial crisis, after brewing for a while, actually started to demonstrate its consequences and encroachments in the middle of 2007 and into 2008. During this period the world stock markets have fallen, large financial institutions have been collapsed. From 2008 to 2010 it reflected...

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...

This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

The crisis has gone through several phases of varying complexity before abating in mid-2014. It started with the Financial Turmoil in August 2007, followed by the Global Financial Crisis in September 2008, and the Great Recession in 2009-2010. These events exacerbated imbalances that had already...

A series of crises triggered over a decade may bring global recession, which may impact millions of investors, including countries teetering on the brink due to forex reserve shortages; this study addresses the significant financial event of a small nation declaring bankruptcy. Such events can...

The importance of a sound and stable financial system and by extension economic stability was brought to the fore by the global financial crisis (GFC). The economic and social costs of the GFC have renewed the commitment of stakeholders in the financial sector including central banks to develop...