The literature on panel models has made considerable progress in the last few decades, integrating non-stationary data both in the time and spatial domain. However, there remains a gap in the literature that simultaneously models non-stationarity and cointegration in both the time and spatial...

Persistence is the speed with which a time series returns to its mean after a shock. Although several measures of persistence have been proposed in the literature, when they are empirically applied, the different measures indicate incompatible messages, as they differ both in the level and the...

Financial inclusion is the process of including the people who lack formal financial services. The concept of financial inclusion emerged globally in the times of millennium and is defined as the availability and usage of formal financial services. It essentially facilitates economic growth; the...

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely used information criteria {Akaike Information...

This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in...

This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson's (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in...

This paper investigates the relationship between money/credit growth and house price inflation for a sample of twelve developed countries. The novel application of the continuous wavelet transform showed significant but time-varying linkages between these two variables. During quantitative...

The rapid development of e-commerce in China has played a critical role in the development of the national economy and ongoing modernization. The plant industry is unique among industries that employ e-commerce sales models because its products exhibit special characteristics such as high death...

Inflation and inflation uncertainty are critical factors influencing the functioning of markets and thus the efficient flow of economic activities. In this study, we investigated the effects of inflation and inflation uncertainty on growth in Ghana. Unlike the majority of the previous studies,...

The phenomenon of enterprises bankruptcy is an extremely complex process of economic, legal, social and even psychological nature. In the developed countries, the first studies on forecasting bankruptcy date to the early 20th century. In Central and Eastern Europe, due to, among other factors,...