The aim of this paper is to assess the effectiveness and risk in the stock exchange market in Central and Eastern Europe countries (CEE) in view of the largest stock exchanges: NYSE2‑LSE‑HKSE2. The implementation of this objective was based on an analysis of basic stock market indicators and...

This articlemodels the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios fromthe Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

A financial market can be expressed in a network structure where the stocks resides as nodes and the links account for returns correlation. Centrality measure in the financial network structure captures firms' embeddedness and connectivity in the capital market structure. This paper investigates...

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock-bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of...

The effectiveness of the VIX index as a leading indicator of style returns has been examined in the finance literature, finding that increases in this “fear index” lead to outperformance of “value” vs “growth” stocks, although the effect has attenuated over time. This study...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

We investigate various statistical methods for forecasting risky choices and identify important decision predictors. Subjects (n=44) are presented a series of 50/50 gambles that each involves a potential gain and a potential loss, and subjects can choose to either accept or reject a displayed...

Uncertainty may affect economic behavior of individuals and firms in a wide variety of ways, with typically negative consequences for economic growth. It is due to this fact, combined with rising political uncertainty observed lately in many countries, that uncertainty has gained increasing...

I investigate the exposure of sectoral equity portfolios to climate transition risks by augmenting a three-factor asset pricing model with a green-minus-brown (GMB) factor as a proxy. I estimate the relationship between risk factors and excess returns within an additive mixed model...