Financial series occasionally exhibit large changes. To deal with those events, we assume that the observed return series consists of a conditionally Gaussian ARMA-GARCH (or -GJR) model contaminated by an additive jump component. In this framework, we propose a new test for additive jumps. The test is based on standardised returns, where the first two conditional moments of the non-contaminated...

In this paper, we assess the impacts of COVID-19 counts (infected cases, deaths and recovered) related announcements on Islamic conventional stocks interplays in Chinese market. We test whether are perceived as assets providing diversification benefits time pandemic. Doing so, implement a multivariate GJR-GARCH model under dynamic conditional correlation (DCC) well multiple partial wavelet cohe...

Given a class F of differential equations, the symmetry classification problem is to determine for each member f ∈ F the structure of its Lie symmetry group G f , or equivalently of its Lie symmetry algebra. The components of the symmetry vector fields of the Lie algebra are solutions of an associated over-determined ‘defining system’ of differential equations. The usual computer classification...

Financial stability is a statutory concern of the European Central Bank. Spreads bank credit default swaps (CDS) indices are reference for financial stability, but literature scarce in this respect. This paper poses novel research question which characteristics investors these derivatives implied by volatility behavior returns CDS indices. Daily spread 5-year maturity iTraxx Europe Financials (...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...

this paper attempts to compare the forecasting performance of the arima model and hybrid arma-garch models by using daily data of the iran’s exchange rate against the u.s. dollar (irr/usd) for the period of 20 march 2014 to 20 june 2015. the period of 20 march 2014 to 19 april 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...