Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Cryptocurrencies are decentralized electronic counterparts of government‐issued money.
The first and best‐known cryptocurrency example is bitcoin. Cryptocurrencies are used to …

This paper analyses herding in cryptocurrency markets in the time of the COVID-19
pandemic. We employ a combination of quantitative methods to hourly prices of the four …

Abstract Did Corporate Social Responsibility investing benefit shareholders during the
COVID-19 pandemic crisis? Distinguishing between downside tail risk and upside reward …

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being
below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord …

The main purpose of this paper is to examine the relationship between the US stock market
and the gold price in the presence of geopolitical tensions and conflicts by introducing the …

The green bond market has seen a rapid growth world widely in recent years. This paper
explores the role of green bonds in asset allocation using the dynamic R-vine copula-based …

A growing interest in non-Gaussian time series, particularly in series comprised of
nonnegative integers (counts), is taking place in today's statistics literature. Count series …

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 …

This survey reviews the large and growing literature on copula-based models for economic
and financial time series. Copula-based multivariate models allow the researcher to specify …