This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...

The aim of this work is to study the degree of efficiency achieved by foreign banks installed in Spain between 2000 - 2020 throu gh 2 non - parametric models, one static, the data envelopment analysis (DEA), and another dynamic, the Malmquist Productivity Index (MPI). The results of DEA model...

This study aims to investigate the economic characteristics of cryptocurrencies and assess the current legal framework regarding the potential to regulate transactions involving cryptocurrencies and other virtual assets. To achieve this goal, a complex set of general scientific and specialized...

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...

Este documento realiza un análisis de varios aspectos relacionados con la demandade dinero. Como un preámbulo teórico se realiza la comparación de lospuntos más característicos del análisis keynesiano y monetarista acerca de lademanda de dinero. Posteriormente se aplica un ejercicio...

La crisis financiera internacional entre 2007 y 2009 causó grandes y a la vez bruscos movimientos de capitales entre economías avanzadas y emergentes, que fueron acompañados por cambios de similares características en los precios de los activos de éstas últimas, lo que se convirtió en un...

Este documento analiza el efecto contagio de las variables bursátiles, monetarias y financieras de Estados Unidos sobre el comportamiento de estas en Colombia a través de pruebas de causalidad de Granger y un modelo de Vectores Autorregresivos (VAR) que nos arroja los impulso-respuesta entre...

ResumenEl objetivo de este artículo es determinar la existencia del "efecto día de semana" en las bolsas de valores de seis países latinoamericanos, Brasil, Chile, Colombia, México, Argentina y Perú, durante el periodo comprendido entre 1993 y 2007. Para ello se analizan los diferentes...