This paper applies the GARJI model to investigate the impact of news on the S&P 500 spot and index futures. We show their reactions are dissimilar to good or bad news. Hence, though they are like brothers, they are cousins. Besides, the persistence and sensitivity parameters for the arrival of...

This study applies the ARJI-trend model in conjunction with the procedure proposed by Bai and Perron (2003) to investigate the coexistence of permanent and transitory components and time-varying jumps in the A and B stock market indices of the Shanghai and Shenzhen Stock Exchanges. Although the...

This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the...