This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, the American and the French New Technology stock markets...

The episodes of stock market crises in Europe and the U.S.A. since the year 2000, and the fragility of the New Technology sector after the explosion of the speculative bubble, have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Realized covariance measures (RCs) are an essential input to assess the risks involved in different investment allocations and it is thus useful to model and forecast them. Thus, a realistic distributional assumption is essential. We compare all probability distributions hitherto applied to...

Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing.I investigate various deep learning methods for asset pricing, especially for risk premia measurement. All models take the same set...

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on...

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term in- terest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive...

This paper empirically examines the pass-through of the Central Bank of Nigeria policy rate to commercial banks' retail rates. The study covers the pre-liberalization (1962M01-1987M07) and post-liberalization (1987M08-2020M09) periods, and em- plys asymmetric cointegration and error-correction...

We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision-Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...