A complete resource for finance students, this textbook presents the most common empirical
approaches in finance in a comprehensive and well-illustrated manner that shows how …

Spillovers in high-order moments are understudied in the cryptocurrency markets, and
notably their joint volatility-skewness-kurtosis spillover effect and its drivers are overlooked …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

The Phase III of the European Union Emission Trading System (EU ETS) is significantly
different from the previous Phases in terms of price trajectory and operational mechanism …

This paper studies the behavior of cryptocurrencies' financial time series, of which Bitcoin is
the most prominent example. The dynamics of these series are quite complex, displaying …

Some recent specifications for GARCH error processes explicitly assume a conditional
variance that is generated by a mixture of normal components, albeit with some parameter …

This paper examines volatility and skewness spillover between Chinese stock index and
index futures markets during the market crash in 2015. The results reveal that the volatility …

This paper investigates the role of high-order moments in the estimation of conditional value
at risk (VaR). We use the skewed generalized t distribution (SGT) with time-varying …

In this paper, we seek to examine the effect of the presence of long memory on the
dependence structure between financial returns and on portfolio optimization. First, we focus …

This paper studies the behaviour of crypto currencies financial time-series of which Bitcoin is
the most prominent example. The dynamic of those series is quite complex displaying …