... information G12 G15 G17 Against the backdrop of the COVID-19 pandemic, which has sent shockwaves through the global financial landscape, understanding the intricate dynamics that have emerged becomes paramount. The surge in inflation to levels not witnessed in four decades and the doubling...

... banking Global systemically important banks (GSIBs) Distance to default (DD) Distance to insolvency (DI) Distance to capital (DC) Logistic regression model G1 G14 G17 G21 G31 DD is a structural risk model, which characterizes the default risk of a financial organization (Saldías, 2013...

... interdependency Quantile LASSO C22 C55 C58 G17 Interdependencies or interlinkages are crucial in many research domains such as physiology (Klein et al., 1986), development and inequality analysis (Chotia and Rao, 2017), power system security (Li et al., 2008), information...

... 10 2018 07 11 2018 10 11 2018 © Emerald Publishing Limited 2019 Emerald Publishing Limited Licensed re-use rights only Financial accounting Banking liquidity Non-core deposit Third party deposit Core deposit Banks liquidity level G32 G17 G21 (1) NCD...

... rights only Value-at-Risk Extreme value theory Realized GARCH Realized kernel Skewed student-t G10 G17 We find that the standalone RGARCH model does not perform better than the GARCH and EGARCH models. However, using the RGARCH model with EVT leads to significant improvements...

... regressions (Mincer and Zarnowitz 1969). Therefore, the results are more robust and widely applicable as compared to the earlier studies. GARCH Volatility Conditional variance Forecast Stock indices G10 G15 G17 Volatility forecasting has applications in portfolio selection, option pricing...