diversification advantages offered by equity market of Pakistan through comparing its performance to performances in other markets and … cost as liquidity measures. Findings - Pakistan's equity offers substantial diversification benefits if added to developed …

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of … copula models for stationary multivariate time series. An empirical study illustrates the forecasting superiority of our …

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series …

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in …

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model … (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …