In this paper we study international asset pricing models and the pricing of global and local market risks as well as currency risk in the Russian stock market from an international investors' point of view using weekly data from 1999 to 2009. In our empirical specification, we utilize the...

In this paper we investigate whether inflation and currency risks are priced in the Korean, Malaysian and Taiwan stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH...

The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We...

The purpose of this study is two fold. First we look at the international linkage of Russian equity market and second we examine the international transmission of the 1998 Russian financial crisis. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995). Four pair-wise...

Extensive work has been done on the modeling of financial time series, both theoretically and empirically, on developed markets of Europe, Asia and United states. There exist sufficient literature on volatility modeling of emerging markets as well, such as, of Latin America, Eastern and Central...

Using high frequency data, this paper examines the long memory property in the conditional volatility of the precious metals return series at different time frequencies using FIGARCH models. Very significant long memory characteristics have been detected in absolute returns by using...

This paper aims to study the extent of overinvestment, underinvestment problem and measure its impact on corporate performance. Our sample consists of 7 years data (2005 to 2011) of 360 non-financial companies listed in the Singapore Stock Market. After panel data models appropriation tests (LM...

This paper utilizes the multivariate GARCH framework of Engle and Kroner (1995) to examine the return and volatility spillovers among a new group of six frontier markets called 'CIVETS'. These markets are considered to be the future hosts of investments due to their huge potential and abundance...

We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins by using the EGARCH model for return...

This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Geacute;rard (1998). We take US...