Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

In the field of business research method, a literature review is more relevant than ever. Even
though there has been lack of integrity and inflexibility in traditional literature reviews with …

Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and
are often named the New Gold. This study, however, shows that the two assets could barely …

This paper examines the impact of the COVID-19 pandemic on 51 major stock markets, both
emerging and developed. We isolated the countries susceptible to shock transmissions, and …

In this paper we assess the price reaction, performance and volatility timing of European
investment funds during the outbreak of Covid-19. We analyze the time period between …

This paper uses a trivariate VAR-BEKK-GARCH model to investigate the dynamic
relationship among the Chinese stock market, commodity markets and global oil price. We …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …

GARCH models have been applied in modelling the relation between conditional variance
and asset risk premia. These models, however, have at least three major drawbacks in asset …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

When I worked on my Introduction to Multiple Time Series Analysis (Lutk ̈ ̈-pohl (1991)), a
suitable textbook for this? eld was not available. Given the great importance these methods …