This article employs jump-diffusion models, including the ARJI model and the GARCH-jump model, to examine jump intensity and volatility of Taiwan stock and foreign exchange markets during a Presidential election period. The empirical results indicate that, firstly, the ARJI model fits data...

This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study...

This study utilizes a Smooth Transition Vector Error Correction Model (STVECM) with Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedasticity (GJR-GARCH) and spillover volatility to investigate the changes in short-run return dynamics when a deviation from the...

In spite of increasing numbers of countries having established renewable energy development mechanisms for carbon dioxide (CO2) emissions reduction, the CO2 emissions problem continues to worsen along with the growth of the world economy. This leads us to examine the threshold effect of the...

In the past, petroleum companies only paid attention to hedging the variation in the crude oil price and volatility. However, they have now expanded their analysis to encompass renewable sources, such as corn and soybeans, under the current low-carbon biofuel obligations. This paper employs...

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...