The last two decades have witnessed an unprecedented growth of the Indian service sector. This paper aims to analyze the growth dynamics. This study intends to see whether the growth in FDI has any significant impact on the service sector growth and also investigates whether a growth in this...

This paper examines the validity of real interest parity (RIP) for 10 Asian economies over the period 1977–2012 (quarterly frequency). The evidence based on two-break unit root tests reveals that majority of the real interest rate differentials (RIDs) with respect to Germany and the US are...

Swaps are the monster of illicit financing once solely supported by Hydra–like cryptocurrencies and the informal value transfer system. Their complexity and opaque private market provide ideal cover for money laundering and proliferation financing beyond the reach of detection from lay...

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market index in Romania. For time-varying beta determination, three different modeling techniques are employed: two bivariate GARCH models (DCC and FIDCC GARCH), two Kalman filter based...

The M&A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M&A transactions can be successfully implemented by taking to an account the size of investments,...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more efficient...

The Entropy Pooling approach in Meucci (2008) is a versatile, general framework to process market views in portfolio construction and generalized stress-tests in risk management. Here we present an efficient algorithm to implement Entropy Pooling with fully general views in multivariate normal...

This article investigates stock-forex markets interdependence in MENA countries for the period spanning from February 26, 1999 to June 30, 2014. The analysis has been performed through three competing models; the VAR-CCC-GARCH model, the VAR-BEKK-GARCH model and the VAR-DCC-GARCH model. Our...