This paper develops a model of heterogeneous agents on an options market. On Paris Option Market, negotiators have different beliefs about future-at the volatility of the underlying. We assume in advance two groups; fundamentalists who believe in mean reversion and Chartists that incorporate...

This paper studies the effect of bank manager behavior and investor behavior on market value of Islamic and conventional banks in the Middle East and North Africa region. Firstly, our analysis denoted the positive effect of discretionary behavior of manager on both types of banks on share prices...

Purpose: The purpose of this paper is threefold. First, it models and forecasts the risk of the five leading cryptocurrencies, stock market indices (developed and BRICS) and gold returns. Second, it conducts different backtesting procedures forecasts. Third, it focuses on the hedging potential...

Purpose: In this paper, we investigate empirically the time-frequency co-movement between the recent COVID-19 pandemic, G7stock markets, gold, crude oil price (WTI) and cryptocurrency markets (bitcoin) using both the multivariate MSGARCH models. Design/methodology/approach: This paper examines...