Limassol, 3603
Cyprus
Cyprus University of Technology
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Conditional variance forecasting, Trading rules, Realised volatility, Directional change prediction
Dynamic sector allocation, Correlation timing, Portfolio performance, Utility-based evaluation, Transaction costs
Conditional variance, Quadratic variation, Nonparametric estimators, Intraday prices, Superior predictive ability
Credit spread; Copula; Dependence; Regime switching; Tail dependence; Value-at-Risk
Panel logit, unobserved heterogeneity, economic loss, predictive performance
Sovereign debt; Eurozone fragility; Self-fulfilling dynamics; European Central Bank; Outright Monetary Transactions.
Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk
Cyberattack, Media, Municipal Bonds, Public Finance, Public attention
Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature
sovereign risk, credit event, contagion, spillover, credit default swap, debt crisis, global factor
corporate governance, board composition, board diversity, bank performance
Board Diversity Reforms, Corporate Governance Codes, Bank Performance
Speculation, Information, Liquidity, Derivatives, Volatility modelling
Stock splits, Ex-split date, Equity abnormal returns, Stock market volatility
Bancassurance ventures, Financial Institutions, Insurance markets, Banking industry
Financial firms, Equity Returns, Interest Rate Surprises
Short sterling futures, Information set, Volume, Open interest, GARCH modelling
Credit risk, sovereign default, financial crises, logit modeling, forecast evaluation
Financial crises, Sovereign default, Logit modelling, Forecasting credit risk.
Debt crises, K-means clustering, logistic regression, bank internal ratings, loss function, forecast combination
