Much research is devoted to the study of the effect of oil on GCC markets. The link is evident, although waning. Little is known about the effect of other commodities, maybe because intuitively they are thought not to impact significantly these markets. However a finding of independence, or...

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

The purpose of this paper is to revisit the evidence on the excess smoothness of consumption within the permanent income model, by using recently available monthly data. Two formulations of the univariate process of personal disposable income are adopted: in the levels and in the log-levels....