Purpose – Corporate governance (CG) has mainly focused on highly dispersed corporations. This paper has two objectives: to enrich the debate in this area and to contribute to the increasing body of literature by exploring the CG of the listed family firms in Greece; and to place the CG practices...

Purpose – The aim is to evaluate the performance of symmetric and asymmetric ARCH models in forecasting both the one‐day‐ahead Value‐at‐Risk (VaR) and the realized intra‐day volatility of two equity indices in the Athens Stock Exchange. Design/methodology/approach – Two volatility...

Purpose – The purpose of this paper is to focus on the performance of three alternative value‐at‐risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the...

Purpose: This paper examines the dividend smoothing (DS) behaviour in the Gulf Cooperation Council (GCC) countries in emerging markets where the response to news and the economic environment are different from those of developed countries. Design/methodology/approach: The authors examine the...

This paper examines the relationship between stock returns and inflation. We focus on various econometric techniques to test this relationship, using monthly values of the Athens Stock Exchange Price index and the Greek Consumer Price index over the period 1988-2002. The results from a simple...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014....

In financial literature, Value-at-Risk (VaR) and Expected Shortfall (ES) modelling is focused on producing 1-step ahead conditional variance forecasts. The present paper provides a methodological contribution to the multi-step VaR and ES forecasting through a new adaptation of the Monte Carlo...

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...