In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare...

This paper deals with an analysis of the information flow on and between three European stock markets operating in Frankfurt, Vienna, and Warsaw. We examine causal links between returns, volatility, and trading volume as well as the time of reaction to a news release and changes in the duration...

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time...

The interconnected issues of commodity price fluctuation, unemployment and balance of trade developments are of critical importance in times of globalization. The present paper addresses these issues in terms of a monetary dependent economy macro model that applies to a large class of emerging...

This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the asymmetry in terms of negative and positive news during the period from January, 2004 to June, 2015. Empirical evidence from a sentiment-augmented TGARCH model demonstrates that...

Echo State Neural Networks (ESN) were applied to forecast the realized variance time series of 19 major stock market indices. Symmetric ESN and asymmetric AESN models were constructed and compared with the benchmark realized variance models HAR and AHAR that approximate the long memory of the...