Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2) evidence of unidirectional AR...

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 focuses on oil as a key determinant in US-GCC stock market interdependence. The analysis uses monthly data over the period from January 2003 to December 2019. interdependence between US and GCC is established using Asymmetric Dynamic Conditional Correlation model. We then investigate impact of both range macroeconomic variables nature correlation. Our results find that returns volati...

Stock returns could be predictable due to time-varying expected returns. In this paper, we model the conditional expected return as an unobservable state variable affected directly by the expected components of predictors. This approach separates the different roles played by expected versus unexpected predictors, while avoiding both the “error-in-variables” problem due to imperfect predictors ...

This paper studies contemporaneous relationship between S&P 500 index returns and logincrements of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies across different segments of the market return distribution. We observe the following findings: (a) the two s...

Today, neuroscientists are interested in discovering human brain functions through brain networks. In this regard, the evaluation of dynamic changes in functional connectivity of the brain regions by using functional magnetic resonance imaging data has attracted their attention. In this paper, we focus on two model-based approaches, called the exponential weighted moving average model and the d...

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...

language is a system of overlapping relations, in a way that the concept of a component would not be transferred except in relation with other components and elements. there are two types of relationship between the linguistic structures: verbal and semantic relationships which are intimately linked to each other, because the word holds the meaning and is a means to express it.  considering the...

This study focuses on the relation between fluctuation of international oil prices and China’s energy stock market during COVID-19 pandemic, using a dynamic conditional correlation generalized autoregressive heteroskedasticity model. We confirm spillover effect volatility price returns determine that leadership has been heavily influenced pandemic.