The present paper aims to analyze impacts of financial policy on the foreign currencies exchange rates. The study utilizes time series data analyses in order to reach better econometric model that may reflect the relationship between financial policy and foreign exchange rates in Sudan between...

We provide an analysis of cash trends in Canada before and during the COVID-19 pandemic. Focusing on the pandemic period, we explore the implications on demand for, use of and access to cash. We find that cash demand has been strong pre-pandemic and increased sharply during the pandemic. While...

This paper presents the motivations, methodology, and initial empirical work for calculating quantitative “factor fundamentals” using a business factor model. Unlike factor models that explain only equity returns, the business factoring approach seeks to identify a consistent set of factors...

We investigate the time-varying predictability of stock returns in a high-dimensional scenario by the proposed dynamic selection and combination (DSC) model that assumes the coefficients (or combination weights) of each predictor change over time. We also develop a particle filter with a...

In this article, we study the relevance of green finance from a portfolio and a network perspective. The estimates are derived from a regularized graphical model, which provides robust results with respect to two important issues. First, we refer to the curse of dimensionality, as we focus on a...

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.

Forward exchange rates convey information about the risk premiums of the currency exposures of the investors. The extraction of these risk premiums provides market information for the expected future values of a currency, which may be useful for policymakers in their market surveillance and...

This paper applies a non-parametric heteroscedasticity and autocorrelation consistent (HAC) estimator of error terms in the context of the spatial autoregressive model of GDP per capita convergence of European regions at NUTS 2 level. By introducing the spatial dimension, it looks how the...

In this paper we suggest an approach to recovering behavior related, preference-choice network pathway information from observational data. We model the process as a self-organized behavior based random exponential network-graph system. As a behavior based optimizing criterion, we recognize the...

Many companies are setting ambitious targets to reduce their greenhouse gas emissions (GHG) per the Paris Agreement. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed by the authors and a panel fixed effects model, this...