Purpose of this paper - The current paper aims to analyze the impact of the debt crisis on the FTSE / ASE 20 index volatility. The research also examines the impact of powerful foreign capital markets on the Greek Stock Exchange market, the seasonality returns (Day-of-the-Week effect) and the...

This study assesses the influence of error distributional assumption on appearance or disappearance of day-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized error distribution were incorporated in the GARCH...

Purpose - The purpose of this paper is to examine the determinants of banking sector profitability in Egypt to shed light on the most influential variables that have a significant impact on the performance of this vital sector. Design/methodology/approach - The analysis includes a time series...

This study aims to investigate the impact of supply-side factors on the export performance of Pakistan at a disaggregated level. It has identified major export categories of Pakistan and constructed a novel time-series data set of each of these categories from 1971 to 2014. Using autoregressive...

This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...

Purpose: The Bass model was created to analyse the product life cycle (PLC) in order to help sales and marketing departments in their business decision making. The purpose of this paper is to analyse the diferences between the clients assisted and sales variables, to discover which of the two...

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV) of FTSE sampled at 5 min intervals taken...

Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...

The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time...