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Weak form efficiency of Pakistan stock market using non-parametric approaches

Irfan, Mohammad; Khan, Muhammad Saleem; Irfan, Maria - 2011

This paper studies the performance of Karachi Stock Exchange (KSE) of Pakistan via non- parametric approaches. The study includes the weekly open and closing prices of KSE- 100 indexes for the period of 1st January 1999 to 31st August 2009. Several non-parametric approaches including...

Persistent link: https://www.econbiz.de/10009512942

Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10011587802

Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method

Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199

Persistent link: https://www.econbiz.de/10014286674

Performance analysis of gold- and fiat-backed cryptocurrencies : risk-based choice for a portfolio

Irfan, Muhammad; Rehman, Mubeen Abdur; Nawazish, Sarah; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-15

This study aims to investigate the performance and behavior of fiat- and gold-backed cryptocurrencies to support stakeholders through the preparation of a portfolio from 1 January 2021 to 30 June 2022. Moreover, while searching for a hedge or a diversifier to construct a less risky portfolio...

Persistent link: https://www.econbiz.de/10014305920

Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets

Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607

Persistent link: https://www.econbiz.de/10013465725

Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility

Meng, Li; Wang, Mei - In: Asia-Pacific financial markets 17 (2010) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10009237122

Pricing of convertible bond based on GARCH model

Wang, Mengxian; Li, Yuan - In: Quantitative financial risk management, (pp. 77-86). 2011

Persistent link: https://www.econbiz.de/10009301439

International comovement of economic fluctuations : a spatial analysis

Wang, Miao; Wong, M. C. Sunny; Granato, James S. - In: World development : the multi-disciplinary … 67 (2015), pp. 186-201

Persistent link: https://www.econbiz.de/10011338731

The role of multilateralism of the WTO in international trade stability

Chowdhury, Abdur R.; Liu, Xuepeng; Wang, Miao; Wong, M. … - In: World trade review 20 (2021) 5, pp. 668-689

Persistent link: https://www.econbiz.de/10012705554

CVA for Cliquet options under Heston model

Feng, Yaqin; Wang, Min; Zhang, Yuanqing - In: The North American journal of economics and finance : a … 48 (2019), pp. 272-282

Persistent link: https://www.econbiz.de/10012120248