volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

The study examines the effect of economic policy uncertainty (EPU) on nonlinear risk spillover across 24 Chinese … industry sectors over the period 2008-2022. We employ tail-event driven network method to measure nonlinear risk spillover of … inter-industry and quantile-on-quantile regression to reveal the effect of EPU on the risk spillover. We find that the …

Financial risk is largely ignored in the tourism literature where most of the research concentrates only on economic or … political factors. Hence, we examine the effect of composite country risk, which includes economic, financial and political … risks as they all play a significant role in determining inbound tourism flows. Therefore, the overall country risk that …

This paper investigates the volatility size effects for firm performance in the Taiwan tourism industry, especially the … univariate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data … Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …