The paper develops a Markov switching multifractal model with dynamic conditional correlations. The objective is to give more flexibility to the initial bivariate Markov switching multifractal model [MSM] (Calvet et al. (2006)) by introducing some time dependency in the comovement structure. The...

Using returns of 4,916 stocks from 22 developed countries and 15 developing countries, this study examines the relative magnitude of conditional volatility and the international market systematic risk of stock prices in countries at different developmental stages and in various geographical...

This paper examines the degree of interdependence between national stock market returns for 17 advanced economies and the United States for various sub-periods from January 1973 to February 2009. The examination is based on time-series techniques including both single equation (ordinary least...

We characterize the price discovery in three emerging EU stock markets — the Czech Republic, Hungary, and Poland — by employing high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account...

Bai and Green (2010) argue that existing studies related to international diversification of portfolio mainly concentrated on the risk-returns tradeoffs from the developed markets perspective. Very few literatures available on the behavior on emerging markets, they are scarce in comparison to...

This paper investigates the integration of emerging stock markets over different time horizons using daily data over 1992-2011. The links among major Middle East and North African (MENA) stock exchange markets (Egypt, Israel, Jordan, Lebanon, Morocco, Turkey and United Arab Emirates) are...

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...

This paper analyses the effects of newspaper coverage of macro news on stock returns in eight countries belonging to the euro area (Belgium, France, Germany, Greece, Ireland, Italy, Portugal and Spain) using daily data for the period 1994-2013. The econometric analysis is based on the estimation...

This paper investigates whether the UK's referendum decision to leave the European Union ("Brexit") had a positive impact on portfolio risk diversification. We estimate weekly dynamic conditional correlations between 1973 and 2018, and then optimal sectoral portfolio allocations over the same...

Purpose - The study uses the multivariate GARCH-BEKK model (which was first proposed by Baba et al. (1990) and then further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading Asian (namely, China, Japan, Singapore and Hong Kong)...