2020 April - 23 articles
In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structu...
Interest rates are representative indicators that reflect the degree of economic activity. The yield curve, which combines government bond interest rates by maturity, fluctuates to reflect various macroeconomic factors. Central bank monetary policy i...
A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely...
Crowdfunding (CF) has experienced impressive growth in recent years with the development of internet and information technologies that increased the participation of the “crowd” to fund entrepreneurial projects. Young entrepreneurs, espec...
Crowdfunding allows the public to donate small amounts of money to entrepreneurs through online platforms. In contrast with traditional financial institutions, this new method facilitates the financing process through direct and easy online contact b...
The uncertainty in the financial market, whether the US—China trade war will slow down the global economy or not, Federal Reserve Board (FRB) policy to increase the interest rates, or other similar macroeconomic events can have a crucial impact...
In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabil...
There is no doubt about the importance of diagnostic testing in an emergency; specifically, which range of tests is available, where and when they are dispensed, and who might be tested using laboratory-developed tests, or other diagnostic tests incl...
Bridging global economic inequalities calls for effective financial alternatives such as awqāf banks to better attend to the needs of the poor and underprivileged. This is expected to address the root causes of poverty and ensuing economic gaps, impr...
We present a deep reinforcement learning framework for an automatic trading of contracts for difference (CfD) on indices at a high frequency. Our contribution proves that reinforcement learning agents with recurrent long short-term memory (LSTM) netw...
In this paper we analyze the effectiveness of more than 30 years of efforts by international banking supervisors, working together in the Basel Committee on Banking Supervision, to harmonize capital and liquidity standards for internationally active...
In 2010, the Basel Committee on Banking Supervision published an assessment of the long-term economic impact (LEI) of stronger capital and liquidity requirements. This paper considers this assessment in light of estimates from later studies of the ma...
The impact of tax incentives on the investment attractiveness of bonds for retail investors is assessed in the article. The paper presents a comparative empirical analysis of investment attractiveness of Russian bonds and bank deposits for domestic r...
We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the...
This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX),...
Prediction of financial market data with deep learning models has achieved some level of recent success. However, historical financial data suffer from an unknowable state space, limited observations, and the inability to model the impact of your own...
In this study, we focus on how banks can enhance their efficiency in the utilization of resources to ensure their economic sustainability. We propose a novel three-stage (production, investment, and revenue generation) network Data Envelopment Analys...
The research interest in bank profitability and efficiency is linked to the economic situation and an important issue for policymakers is to ensure economic stability. Nevertheless, managerial decisions and the environment could play a critical role...
The Nelson–Siegel framework published by Diebold and Li created an important benchmark and originated several works in the literature of forecasting the term structure of interest rates. However, these frameworks were built on the top of a para...
This study first analyzes the national and global infection status of the Coronavirus Disease that emerged in 2019 (COVID-19). It then uses the trend comparison method to predict the inflection point and Key Point of the COVID-19 virus by comparison...
Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financ...
The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a novel class of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models. The inhomogeneity of the cross-section...
In eras of intense debates on the appointment of women on corporate boards, this research sheds light on the structure of board in Asian emerging economies by examining how women on board of family businesses separately and collectively affect the di...
