The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...

This paper proposes an empirical study of the shape of recoveries in financial markets from a bounce-back augmented Markov Switching model. This model is estimated for monthly stock market returns data of five developed countries for the post-1970 period. The presence and shape of the...

Even before the events of the past few years, economists and policy makers were musing about the apparent contradiction between globalization, as it is generally understood, and the seemingly different paths in overall economic activity taken by the emerging and more mature economies of the...

The empirical growth literature gives no clear indication as to how democracy impacts growth; there is evidence of both positive and negative effects and also of no direct link in democracy and growth nexus. In this study an attempt has been made to resolve this controversy by putting this...

We analyse trade between countries of the Council of Mutual Economic Assistance in Eastern Europe between 1950 and 1990. Despite central planning of the CMEA, we show that trade could be explained by standard demand factors surprisingly well. We document that the oil price crisis had several...

The labor force is a crucial factor in conducting economic activities, especially in labor-surplus countries like Pakistan. In this study, we explore the impact of labor force participation (LF) on economic growth (EG), with an emphasis on how this impact depends on the levels of health and...

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...

The identification of factors influencing the renewable energy stock market has recently received much attention from scholars. While the implications of economic policy uncertainty on renewable energy stock markets have been extensively studied in recent literature, less attention has been paid...

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...