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Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory

Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 41 (2014), pp. 1-18

Persistent link: https://www.econbiz.de/10010374635

Exchange rate movements and stock market returns in a regime-switching environment : evidence for BRICS countries

Chkili, Walid; Nguyen, Duc Khuong - In: Research in international business and finance 31 (2014), pp. 46-56

Persistent link: https://www.econbiz.de/10010434020

Instabilities in the relationships and hedging strategies between crude oil and US stock markets : do long memory and asymmetry matter?

Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of international financial markets, … 33 (2014), pp. 354-366

Persistent link: https://www.econbiz.de/10011299818

Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates

Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of international financial markets, … 22 (2012) 4, pp. 738-757

Persistent link: https://www.econbiz.de/10009582536

Modeling the volatility of Mediterranean stock markets: a regime-switching approach

Chkili, Walid; Nguyen, Duc Khuong - In: Economics Bulletin 31 (2011) 2, pp. 1105-1113

In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010. Our results show strong evidence of regime shifts in each of these markets. We...

Persistent link: https://www.econbiz.de/10009643089

A time-varying copula approach to oil and stock market dependence : the case of transition economies

Aloui, Riadh; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 39 (2013), pp. 208-221

Persistent link: https://www.econbiz.de/10010234959

Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218

Persistent link: https://www.econbiz.de/10009700518

On the short- and long-run efficiency of energy and precious metal markets

Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: Energy economics 40 (2013), pp. 832-844

Persistent link: https://www.econbiz.de/10010355559

How strong are the causal relationships between Islamic stock markets and conventional financial systems? : evidence from linear and nonlinear tests

Ajmi, Ahdi Noomen; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - In: Journal of international financial markets, … 28 (2014), pp. 213-227

Persistent link: https://www.econbiz.de/10010411562

Oil prices and MENA stock markets : new evidence from nonlinear and asymmetric causalities during and after the crisis period

Ajmi, Ahdi Noomen; El Montasser, Ghassen; Hammoudeh, Shawkat - In: Applied economics 46 (2014) 16/18, pp. 2167-2177

Persistent link: https://www.econbiz.de/10010413309