Search Results - isPartOf:"Computational Economics"

Hedging the risks of MENA stock markets with gold : evidence from the spectral approach

Ourir, Awatef; Bouri, Elie; Essaadi, Essahbi - In: Computational economics 61 (2023) 1, pp. 197-231

In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar,...

Persistent link: https://www.econbiz.de/10014228422

Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing

Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265

Persistent link: https://www.econbiz.de/10014228424

Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR

Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294

Persistent link: https://www.econbiz.de/10014228426

Unfolding Beijing in a hedonic way

Lin, Wei; Shi, Zhentao; Wang, Yishu; Yan, Ting Hin - In: Computational economics 61 (2023) 1, pp. 317-340

Persistent link: https://www.econbiz.de/10014228430

Diversification and systemic risk of networks holding common assets

Huang, Yajing; Liu, Taoxiong - In: Computational economics 61 (2023) 1, pp. 341-388

Persistent link: https://www.econbiz.de/10014228433

Are the eurozone financial and business cycles convergent across time and frequency?

Mansour-Ibrahim, Dalia - In: Computational economics 61 (2023) 1, pp. 389-427

Persistent link: https://www.econbiz.de/10014228435

A closed form solution for pricing variance swaps under the rescaled double Heston model

Yoon, Youngin; Kim, Jeong-Hoon - In: Computational economics 61 (2023) 1, pp. 429-450

Persistent link: https://www.econbiz.de/10014228437

Classifying the variety of customers' online engagement for churn prediction with a mixed-penalty logistic regression

Posedel Šimović, Petra; Chen, Claire Yi-Ting; Sun, … - In: Computational economics 61 (2023) 1, pp. 451-485

Persistent link: https://www.econbiz.de/10014228438

Multiscale multifractal detrended fluctuation analysis and trend identification of liquidity in the China's stock markets

Yan, Ruzhen; Yue, Ding; Wu, Xu; Gao, Wei - In: Computational economics 61 (2023) 2, pp. 487-511

Persistent link: https://www.econbiz.de/10014228448

The convergence investigation of a numerical scheme for the tempered fractional black-scholes model arising European double barrier option

Aghdam, Y. Esmaeelzade; Mesgarani, H.; Adl, A.; Farnam, B. - In: Computational economics 61 (2023) 2, pp. 513-528

Persistent link: https://www.econbiz.de/10014228450