This paper studies the normality of two portuguese stock exchange indexes, using daily returns for the period 1990-1995. The results of the tests allow to discard the hypothesis of normality. Weak form efficiency, evaluated through runs tests, is also rejected, while daily returns turn out to be...

We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...

This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using a sliding window in order to measure long range dependence. We detect that...

This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

We propose an information theoretic approach to measure price efficiency of financial assets and aggregate markets. Our measures draw on the idea of return predictability and are directly linked to the weak-form efficiency of the Efficient Market Hypothesis. Asness et. al. (2013) document strong...

Corporate Social Responsibility (CSR) is a multidimensional concept that involves several aspects, ranging from Environment, to Social and Governance. Companies aiming to comply with CSR standards have to face challenges that vary from one aspect to the other and from one industry to the other....

We review the multiple frequency Gegenbauer autoregressive moving average model, which is able to reproduce a wide range of autocorrelation functions. Extending the result of Chung (1996a), we propose the asymptotic distributions for a conditional sum of squares estimator of the model...

A number of single ARCH model-based methods of predicting volatility are compared to Degiannakis and Xekalaki’s (2005) poly-model SPEC algorithm method in terms of profits from trading actual options of the S&P500 index returns. The results show that traders using the standardized prediction...

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Some countries have announced national benchmark rates, while others have been working on the recent trend in which the London Interbank Offered Rate will be retired at the end of 2021. Considering that Turkey announced the Turkish Lira Overnight Reference Interest Rate (TLREF), this study...