This paper develops a skewed extension of the generalized t (GT) distribution, introduced
by McDonald and Newey (1988). In particular, the paper derives the mathematical moments …

This paper provides additional insight into the nature and degree of interdependence of
stock markets of the United States, Japan, the United Kingdom, Canada, and Germany, and it …

A firm in the early stages of financial distress exhibits characteristics different from those of
healthy firms. As the economic condition of a firm worsens, its financial characteristics shift …

This paper proposes a conditional technique for the estimation of VaR and expected shortfall
measures based on the skewed generalized t (SGT) distribution. The estimation of the …

… Title: Relation between volatility and expected returns across international stock markets
Authors: Theodossiou, Panayiotis metadata.dc.contributor.other: Θεοσδοσίου, Παναγιώτης …

… (CUSUM) developed by Theodossiou (1993) for predicting shifts in the mean of a multivariate
time-series process. This paper extends significantly the work of Theodossiou (1993) by …

This article investigates the empirical distributions of log-returns of several financial assets
at the daily, weekly, monthly, bimonthly, and quarterly frequencies. The results indicate that …

The previous results suggest that financial leverage, profitability, managerial effectiveness,
the firm's growth and size are important explanatory variables in financial distress models. …

Failure prediction models have been used increasingly by practitioners in finance and
accounting as early warning systems of potential business failures. Commercial banks and …

Higher initial margin requirements are associated with lower subsequent stock market
volatility during normal and bull periods, but show no relationship during bear periods. Higher …