Outputs (55)

The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures (2021)
Journal Article
Allodi, L., Massacci, F., & Williams, J. (2022). The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures. Risk Analysis, 42(8), 1623-1642. https://doi.org/10.1111/risa.13732

The assumption that a cyber attacker will potentially exploit all present vulnerabilities drives most modern cyber risk management practices and the corresponding security investments. We propose a new attacker model, based on dynamic optimization, w... Read More about The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures.

Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk (2021)
Journal Article
Elsayed, A., & Helmi, M. (2021). Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk. Annals of Operations Research, 305, 1-22. https://doi.org/10.1007/s10479-021-04081-5

This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to... Read More about Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk.

Multinationality and capital structure dynamics: A corporate governance explanation (2021)
Journal Article
Gyimah, D., Kwansa, N., Kyiu, A., & Sikochi, A. (2021). Multinationality and capital structure dynamics: A corporate governance explanation. International Review of Financial Analysis, 76, Article 101758. https://doi.org/10.1016/j.irfa.2021.101758

This paper examines the impact of corporate governance on capital structure dynamics. Using ordinary least squares regressions on 17,496 firm-year observations for 2,294 US multinational companies (MNCs) over the period 1990–2018, we find that MNCs w... Read More about Multinationality and capital structure dynamics: A corporate governance explanation.

Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns (2021)
Journal Article
Andreou, P., Kagkadis, A., Maio, P., & Philip, D. (2021). Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns. Critical finance review, 10(1), 65-81. https://doi.org/10.1561/104.00000091

We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and... Read More about Dispersion in options investors' versus analysts' expectations: Predictive inference for stock returns.

Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression (2021)
Journal Article
Belaid, F., Elsayed, A., & Omri, A. (2021). Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression. Structural Change and Economic Dynamics, 57, 225-238. https://doi.org/10.1016/j.strueco.2021.03.011

With the growing pressure from the adverse impact of environmental pollution and climate change, the deployment of renewable sources is becoming one of the economic priorities for governments worldwide. Despite potential gains of renewable sources, l... Read More about Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression.

Regulatory Regimes for Shariah Governance: A Framework of Assessment and Analysis (2021)
Journal Article
AlQassar, A., & Ahmed, H. (2022). Regulatory Regimes for Shariah Governance: A Framework of Assessment and Analysis. Journal of Banking Regulation, 23(2), 139-154. https://doi.org/10.1057/s41261-021-00153-5

This paper develops a framework of assessing de jure adoption of Sharīʿah governance standards of international standards setting bodies and uses it to assess the legal and regulatory framework of Sharīʿah governance regimes (SGR). Using leximetrics... Read More about Regulatory Regimes for Shariah Governance: A Framework of Assessment and Analysis.

Testing the Eigenvalue Structure of Spot and Integrated Covariance (2021)
Journal Article
Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the Eigenvalue Structure of Spot and Integrated Covariance. Journal of Econometrics, 229(2), 363-395. https://doi.org/10.1016/j.jeconom.2021.02.006

For vector Itˆo semimartingale dynamics, we derive the asymptotic distributions of likelihoodratio-type test statistics for the purpose of identifying the eigenvalue structure of both integrated and spot covariance matrices estimated using high-frequ... Read More about Testing the Eigenvalue Structure of Spot and Integrated Covariance.

Institutional ownership and firms’ thrust to compete (2021)
Journal Article
Andreou, P. C., Fiordelisi, F., Harris, T., & Philip, D. (2022). Institutional ownership and firms’ thrust to compete. British Journal of Management, 33(3), 1346-1370. https://doi.org/10.1111/1467-8551.12496

This article provides evidence on the impact of transient (short-term) institutional investors on a firm’s thrust to compete. A firm’s thrust to compete, as an attribute of corporate culture, captures the relative importance of corporate values that... Read More about Institutional ownership and firms’ thrust to compete.

Cyber Hygiene Maturity Assessment Framework for Smart Grid Scenarios (2021)
Journal Article
Skarga-Bandurova, I., Kotsiuba, I., & Velasco, E. R. (in press). Cyber Hygiene Maturity Assessment Framework for Smart Grid Scenarios. Frontiers in Computer Science, 3, https://doi.org/10.3389/fcomp.2021.614337

Cyber hygiene is a relatively new paradigm premised on the idea that organizations and stakeholders are able to achieve additional robustness and overall cybersecurity strength by implementing and following sound security practices. It is a preventiv... Read More about Cyber Hygiene Maturity Assessment Framework for Smart Grid Scenarios.

Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic (2021)
Journal Article
Yarovaya, L., Elsayed, A. H., & Hammoudeh, S. (2021). Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic. Finance Research Letters, 43, Article 101979. https://doi.org/10.1016/j.frl.2021.101979

We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and VIX and EPU indexes affect the relationships between the... Read More about Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic.