This article documents the stochastic properties of bivariate returns to international stock market indices. In particular, the article searches for the best fit among a class of higher-order VARMA(u,v)-EGARCH(p,q) models with normal errors and a constant conditional correlation using MSCI...

We present non-linear models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2017. We first estimate Markov Switching models within a univariate framework. These models support the relevance of three business cycle regimes...

The aim of this study is to examine the effect of Information and Communication Technology (ICT) development on country's scientific ranking as measured by H-index. Moreover, this study applies ICT development sub-indices including ICT Use, ICT Access and ICT skill to find the distinct effect of...

This study investigates whether the capital market values the efficiency of firms. After tracing stock returns and efficiency changes of 399 listed insurance firms in 52 countries during the 2002-2008 period, the paper reports a positive and statistically significant relationship between profit...

The capital flows network has changed substantially, bringing new investors and target economies into play. Related, a recent intensification of capital flows to low income countries (LICs) has posed a number of questions. Most importantly, the very nature of those flows and important factors...

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Many variables in governance are measured with uncertainty. This paper addresses this problem, showing that interval variables are a suitable way to handle it, providing an application in corporate governance. We build two constructs, one for Investor protection and the other for Constraints on...

Purpose of the Study: The study aims to examine the impact of government actions and country-specific factors during the COVID-19 on the tourism industry around the globe. Design/Methodology/Approach: The sample includes data of the 20 highly visited countries worldwide according to the UNWTO...

We present non-linear binary Probit models to capture the turning points in global economic activity as well as in advanced and emerging economies from 1980 to 2016. For that purpose, we use four different business cycle dating methods to identify the regimes (upswings, downswings). We find that...