Infrastructure investment is essential for economic development both developed and developing economies. We analyze the short-term return behavior portfolio characteristics of global, regional, selected Asian countries’ infrastructure indexes during pandemic over sample period 3 July 2018 to 1 2021. According multivariate Glosten, Jagannathan, Runkle (GJR) Generalized Autoregressive Conditional...

We provide a practical methodology for solving the generalized joint replenishment (GJR) problem, based on a mathematical programming approach to approximate dynamic programming. We show how to automatically generate a value function approximation basis built upon piecewise-linear ridge functions, by developing and exploiting a theoretical connection with the problem of finding optimal cyclic s...

In this paper, we examine various characteristics of both base and peak electricity spot prices their returns, investigate dependence structures, extreme co-movements, risk spillovers, integration relationships among the five major European markets, including France, Germany, Netherlands, Spain, UK. To do so, propose a new perspective by applying hybrid ARMA-GARCH, static dynamic copulas, state...

The Southern Region has reported a large number of contagious pandemic outbreaks. These epidemics brought threats to human health and resulted in serious economic losses. COVID-19 is global virus weakened the financial markets with significant effect on stock returns market volatilities. study obtained dataset about structure South Asian Association for Regional Cooperation (SAARC) Countries. p...

The purpose of this research is to model the volatility Stock Indices in Indonesian capital market. This focuses on two stock indices namely SRI-KEHATI and LQ45. SRI_KEHATI a index that consists companies whose operations are sustainable environmentally friendly. also known as “green index” due its environment sustainability concern. novelty fills gap literature which not much regarding gre...

This paper investigates the dynamic tail dependence risk between BRICS economies and world energy market, in context of COVID-19 financial crisis 2020, order to determine optimal investment decisions based on metrics. For this purpose, we employ a combination novel statistical techniques, including Vector Autoregressive (VAR), Markov-switching GJR-GARCH, vine copula methods. Using data set cons...