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Dependence of stock and commodity futures markets in China: Implications for portfolio investment
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging Markets Review 21 (2014) C, pp. 183-200
in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our …
Persistent link: https://www.econbiz.de/10011117800
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Dependence of stock and commodity futures markets in China: implications for portfolio investment
Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - Institut de Préparation à l'Administration et à la … - 2014
the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula …
Persistent link: https://www.econbiz.de/10010891097
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The new science of technical analysis
DeMark, Thomas R. <Senior> - 1994
Persistent link: https://www.econbiz.de/10004568545
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Modelling oil price and exchange rate co-movements
Reboredo, Juan C. - In: Journal of Policy Modeling 34 (2012) 3, pp. 419-440
We examine how oil prices and exchange rates co-move using two measures of dependence: correlations and copulas and …
Persistent link: https://www.econbiz.de/10010577349
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Lessons from a Review of International Experience in Early Childhood Development Programming, Part 1 : Key Features of Early Childhood Development Programs
Rupasinghe, Naomi - 2021
Tajikistan has the highest birth rate, of 29 births per 1,000, in the Europe and Central Asia (ECA) region and children under 6 years old comprise 17 percent of the population. Early Childhood Development (ECD) investments are some of the most cost-effective interventions and given the...
Persistent link: https://www.econbiz.de/10012642804
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An algorithm for constructing high dimensional distributions from distributions of lower dimension
Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics Letters 123 (2014) 3, pp. 257-261
We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in...
Persistent link: https://www.econbiz.de/10010776628
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THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
CHICHEPORTICHE, RÉMY; BOUCHAUD, JEAN-PHILIPPE - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250019-1
more general elliptical models, for describing the joint distribution of returns. We find that while Student copulas … methodological interest to efficiently visualise and compare different copulas. We identify the rescaled difference with the Gaussian … formal choices of copulas with no financial interpretation. …
Persistent link: https://www.econbiz.de/10011011286
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Reconstructing high dimensional dynamic distributions from distributions of lower dimension
Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - Center for Economic and Financial Research (CEFIR), New … - 2013
We propose a new sequential procedure for estimating a dynamic joint distribution of a group of assets. The procedure is motivated by the theory of composite likelihood and by the theory of copula functions. It recovers m-variate distributions by coupling univariate distributions with...
Persistent link: https://www.econbiz.de/10010684833
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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?
Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2006
The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...
Persistent link: https://www.econbiz.de/10009437733
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What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?
Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006
The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...
Persistent link: https://www.econbiz.de/10008694528