The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical...

Statistical-based predictions with extreme value theory improve the performance of the risk model not by choosing the model structure that is expected to predict the best but by developing a model whose results are a combination of models with different shapes. Using different ensemble...

The aim of this paper is to analyze and test the effects of capital market development on the per-capita GDP growth in Saudi Arabian economy covering the period of 1985-2018. An ARDL, FMOLS and Johansen tests are implemented. The stock market indicators: share price index, capitalization,...

The objective of this research is to introduce in literature new measures of accuracy for point forecasts (radical of order n of the mean of squared errors, mean for the difference between each predicted value and the mean of the effective values, ratio of radicals of sum of squared errors...

In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: Empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov...

In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using Monte Carlo methods. In terms of the size of...

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...

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...

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...