The stock market is heavily influenced by global sentiment, which is full of uncertainty and is
characterized by extreme values and linear and nonlinear variables. High-frequency data …

This paper proposes an intelligent risk management system in stock markets based on
indications of social media platforms. Based on a brief survey, we found that the literature …

We test the hypothesis that policy interventions in crisis periods are less effective when
markets are integrated, drawing on China and Russia's experience during the global …

Purpose The stock market has shown fluctuating degrees of volatility because of the recent
COVID-19 pandemic in India. The present research aims to investigate the effect of the …

This study examines whether the adaptive market hypothesis (AMH) explains calendar
anomalies across 16 headline stock market indices in 10 markets. We employ the rolling …

This study aims to explore the comovement and causal relationship between the stock
market cycle and business cycle in China over the period from 1992Q1 to 2018Q1. While the …

This study employs the extreme value theory (EVT) and stochastic copulas to investigate the
dependence structure between the Chinese stock market and other major stock markets …

This paper presents investigation on the efficient market hypothesis of extreme stock return
based on peaks over threshold method, by application of 10% Value at risk (VaR) quantile …

Analyzing the statistical behavior of the assets' returns has shown to be an interesting
approach to perform asset selection. In this work, we explore a stress-strength reliability …

In reliability studies, we are interested in the behaviour of a system when it interacts with its
surrounding environment. To assess the system's behaviour in a reliability sense, we can …