The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

In der Politik und in den Medien wird darüber diskutiert, ob spekulativer Handel mit Agrarrohstoffen den Hunger in der Welt vermehrt. In diesem Aufsatz wird untersucht, in welchem Umfang sich Schwankungen von Agrarrohstoffpreisen auf nationale Verbraucherpreise für Lebensmittel in Indien als...

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data...

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...