The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

COVID-19 pandemic is an extreme event that created a turmoil in stock markets around the world. This unexpected circumstance poses a critical question whether the prevailing models can help predict the plummets of indices, hence the returns. In this study, we model the stock returns using...

We investigate the spatial dependence between commercial and residential mortgage defaults. A new class of observation-driven frailty factor models is introduced to do so. The idea of dynamic parameters embedded in the class of GAS models is utilized to estimate dynamic models of default risk...

This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread and the Baltic exchange dirty index, impact...

Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in financial markets, we often observe that financial volatility processes depend on economic states, so they have a state heterogeneous...

We introduce a flexible utility-based empirical approach to directly determine asset allocation decisions between risky and risk-free assets. This is in contrast to the commonly used two-step approach where least squares optimal statistical equity premium predictions are first constructed to...

This paper introduces composite absolute value and sign (CAVS) forecasts, a nonlinear framework that combines forecasts of the sign and absolute value of a time series into conditional mean forecasts. In contrast to linear models, the proposed framework allows different predictors to separately...

The multi-fractal analysis has been applied to investigate various stylized facts of the financial market including market efficiency, financial crisis, risk evaluation and crash prediction. This paper examines the daily return series of stock index of NASDAQ stock exchange. Also, in this study,...

This paper derives a finite-sample oracle inequality for a class of misspecified multivariate conditional autoregressive quantile forecasts. This inequality is used to establish that the M-estimator of a multivariate version of the conditional autoregressive Value-at-Risk model (CAViaR) achieves...

This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...