This paper studies the nature of volatility spillovers across countries from the perspective of network theory and by relying on data of US-listed ETFs. I use a Lasso-related technique to estimate the International Volatility Network (IVN) where the nodes correspond to large-cap international...

In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

This study uses GARCH modelling to estimate and forecast conditional variances and covariances of returns calculated from a set of financial market series: twelve markka exchange rates, twelve corresponding short-term euro interest rates and the Finnish short-term interest rate, the Finnish...

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two different framworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH...

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial markets. This paper firstly proposes a new direct proxy for the public's attention in the NFT market: the non-fungible tokens attention index (NFTsAI), based on 590m news stories...

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze the market's expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative...

This research examines voluntary financial communication on the Internet by companies quoted on Brussels' unregulated markets. In the absence of obligation to communicate, we wish to know if companies quoted on these markets are proactive regarding financial disclosure on their website? We also...

Benoit Mandelbrot (1924-2010), a pioneering mathematician, created a new awareness of the chaos of nature - its randomness, irregular shapes, sharp edges, corners, and gaps. He developed the theory of fractals to describe these phenomena, and he also applied his concepts to financial markets....

The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...