We analyze the dynamic comovement of commodity futures returns within each category (energy, precious metals, industrial metals, and agriculture) from 1997 to 2013 under the eects of the nancialization of commodity markets. Our findings from the dynamic equicorrelation GARCH model of ? show...

We aim to and out whether the exchange rate (against US dollar) or the interest rate (in local currency) is a better variable in predicting the capacity utilization rate of manufacturing industry (CUR) of Turkey after the 2008 global financial crisis. In that manner, we implement dynamic mixed...

This article proposes a new procedure to evaluate Asia Pacic stock market in-terconnections using a dynamic setting. Dynamic Spanning Trees (DST) are constructed using an ARMA-FIEGARCH-cDCC process. The main results show that: 1. The DST significantly shrinks over time; 2. Hong Kong is found to...

We aim to determine if sovereign rating assessments (from S&P, Moody's and Fitch) for the advanced emerging Latin American countries (Brazil, Mexico and Chile) have any signicant eect on the correlation between their stock market returns in the last decade. With that purpose in mind, we obtain...

The aim of this study is to understand the role of herd behaviour on stock market crashes. A model of interacting agents in a market, buying and selling a single financial asset is studied. Agents give their decisions to buy or sell according to a combination of neighbourhood influence, public...

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying effciency. We observe that the 2008 global financial crisis has an adverse effect on almost all EU stock...

This study analyzes the dynamic relationship between exchange rate (against US dollar), interest rate and the stock market (both in local currency) of Turkey from January 2003 to September 2013. In particular, the paper tries to answer if the correlations between these important variables change...

This paper aims to investigate whether the effect of inflation expectations, exchange rate, money supply, industrial production and import prices on inflation depends on business cycle. For this purpose, a two states Markov Switching Auto Regression model with time varying transition...