... TVP-VAR C32 C5 F3 G15 Over the last few decades, and especially after the global financial crisis of 2007–2009, academicians and practitioners have developed a strong interest in the study of spillovers. The spillover effect exists when the volatility of one market is influenced...

... a methodology similar to the approach discussed by Koop and Korobilis (2014) and later adapted by Mhadhbi (2024) . C22 C32 E44 (6) ∑ j = 1 N ∅ ∼ i , j r ( H ) ≠ 1 (7) ∑ i , j = 1 N ∅ ∼ i , j r ( H ) = N where...

... contributes to the limited literature concerning interactive relationship among bank competition, liquidity and loan price in the Indian banks. Bank competition Bank liquidity Bank loan price Interactive effect Indian banks Network Economic cycle LASSO VAR C5 C32 D85 E32 G21 G28...

... these studies derived robust conclusions from the wavelet analysis, thanks to its multidimensional aspect. Olivier Nataf can be contacted at: olivier.nataf@vub.be CDS Ratings Downgrade Wavelet C32 G14 This paper aims to disentangle the dynamics triggered by a downgrade on credit...

... conditions return generating process time-series standardized coefficients C01 C13 C32 C58 G12 G15 The South African stock market, the Johannesburg Stock Exchange (JSE), is a highly developed and globally integrated market. In terms of market capitalization, it exceeds the Madrid Stock...

... performance perspective. Originality/value The authors demonstrate how investors can incorporate the multi-scale nature of returns into their portfolio decisions by applying wavelet filter techniques. Factor models Minimum-variance portfolio selection Wavelet decomposition C10 C32 G11 G15...