This study aims to investigate the dynamic conditional correlation and volatility spillover between conventional Islamic stock markets in developed emerging countries order develop better portfolio asset allocation strategies. We used both multivariate GARCH (MGARCH) multi-scales-based maximal overlap discrete wavelet transform (MODWT) approaches countries. The results show that move together l...

This paper examines the spillover effect from Chinese stock market to select emerging economies check diversification opportunities. The study analysed data in three different periods including full period January 3, 2000 February 7, 2020; first sub October 18, 2009 and second 19 2020. We applied Granger Causality Dynamic Conditional Correlation Generalized Autoregressive Heteroscedasticity (DC...

This article examines whether incorporating investors’ uncertainty, as captured by the conditional volatility of sentiment, can help forecasting stock markets. In this regard, using Markov-switching multifractal (MSM) model, we find that uncertainty substantially increase accuracy forecasts market according to forecast encompassing test. We further provide evidence MSM outperforms dynamic corre...

As robots become more sophisticated and pervasive, they will be forced to operate in more dynamic and social environments. In order to develop a theory of mind to account for the intents, beliefs, and motivations of other individuals, a robot needs to be able to distinguish between another entity and itself. One proposed method of learning the difference between self and other is to use conting...

We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several multivariate volatility models, namely Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC) and consistent DCC (cDCC) models. To evaluate the performance of models we used four statistical loss functions on the daily...