We examine the synchronization of European Union (EU) financial markets before and during the recent financial crisis. A DCC-GARCH framework captures dynamic correlations and a Markov-Switching framework captures regime changes. For the 27 nations of the EU, we formulate characteristics of the...

We examine efficiency in Islamic and conventional banking systems in the Gulf Cooperation Council (GCC) region (2004-2007) using financial ratio analysis (FRA) and data envelopment analysis (DEA). We find the two approaches are complementary in terms of the information they provide. From the...

This paper attempts to reveal the impact of the right jump tail on the dynamics and term structures of volatility-of-volatility (VVIX) and variance-of-variance risk premium (VVRP) based on the VIX index while examining the return predictability implicit in the VIX market. In a simulation study...

This paper proposes a robust framework for disentangling undiversifiable common jumps within the realized covariance matrix. Simultaneous jumps detected in our empirical study are strongly related to major financial and economic news, and their occurrence raises correlation and persistence among...

It is well documented in the literature that the forecasts of Value-at-Risk (VaR) and Expected Shortfall (ES) can be improved by additional high-frequency information (i.e., realized volatility). However, existing framework provides no apparent way of integrating effective low-frequency signals....

On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We...