In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond...

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

This paper compares various machine learning models to predict the cross-section of emerging market stock returns. We document that allowing for non-linearities and interactions leads to economically and statistically superior out-of-sample returns compared to traditional linear models. Although...

This paper provides a comprehensive analysis of stock return predictability in the Indian stock market by employing both the portfolio and cross-sectional regressions methods using the data from January 1994 and ending in December 2018. We find strong predictive power of size, cash-flow-to-price...

Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected developed and former communist emerging stock markets in the European Union. Modelling the behavioural dynamics of European stock markets represents a vital topic in a fascinating...

The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...

This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021. The period of more than 20 years enabled to analyse the behaviour of returns and their volatility...

The CEE stock markets are more and more integrated in the European financial markets. The growth of the integration of financial markets favours the volatility and return spillover between them. The current study analyses the volatility spillover among the stock markets in the countries from...

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small and medium-sized enterprise (SME) stock markets in Saudi Arabia and Egypt for the periods before and during the COVID-19 pandemic. Return and volatility spillovers are modelled...