The paper considers the problem as to whether financial returns have a common volatility process in the framework of stochastic volatility models that were suggested by Harvey et al. (1994). We propose a stochastic volatility version of the ARCH test proposed by Engle and Susmel (1993), who...

On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...

The recent financial crisis has accentuated the fact that extreme outcomes have been overlooked and not dealt with adequately. While extreme value theories have existed for a long time, the multivariate variant is difficult to handle in the financial markets due to the prevalent...

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...

The paper examines the unconditional sigma and time-series convergence of real GDP per capita (measured in national currencies and euros) for CEE8 countries during the 1995 : Q1 - 2011 : Q1 period by applying the unit root framework using the DF-GLS test and the Lee and Strazicich (2003; 2004) test,...

The models for testing and dating breaks in stock returns and volatilities often rely on the restrictive assumption of common breaks. This assumption suggests that a shift occurred due to common innovations. Models under this assumption can only be estimated simultaneously. This assumption may...

We propose a new method to capture changes in hedge funds' exposures to risk factors, exploiting information from relatively high frequency conditioning variables. Using a consolidated database of nearly 15,000 individual hedge funds between 1994 and 2009, we find substantial evidence that hedge...

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

The paper studied the asset pricing behavior in India for the time period from April 1991 till March 2015 by employing the Fama-French three factor model and discovered a structural break in November 2001. This structural break was due to the coefficient of the value factor that showed a...