This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as...

This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency...

This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as...

This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency...

Heavy tails and volatility clusters are both stylized facts of financial returns that destabilize markets. The former are extreme events by definition and the latter can accelerate adverse market developments. This work disentangles the two sources and examines which one does the greater damage...

This study employs the DCC-GARCH model to investigate the dynamic connectedness between the Indian stock market and major global stock markets. Specifically, we examine daily log returns data of the National Stock Exchange (NSE) index and several international indices, including the United...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

This paper analyzes prudential controls on capital flows to emerging markets from the perspective of a Pigouvian tax that addresses externalities associated with the deleveraging cycle. It presents a model in which restricting capital inflows during boom times reduces the potential outflows...

We examine the role of the vaccine initiation rate in mitigating the international stock market volatility during COVID-19. Our findings reflect that the positive effect of the vaccine initiation rate assists in stabilizing the international stock markets. This possible effect is stronger for...

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the euro area sovereign debt crisis. Spillovers are measured via a forecast error variance decomposition of a vector autoregressive model, which captures jointly the dynamics of...