Search Results - person:"Alsarhan, Abdulwahab A."

Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model

Khalifa, Ahmed A.; Alsarhan, Abdulwahab A.; … - In: Research in international business and finance 39 (2017), pp. 307-314

Persistent link: https://www.econbiz.de/10011876487

Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach

Alsarhan, Abdulwahab A.; Khalifa, Ahmed A. A.; Al-Titi, Omar - In: American journal of finance and accounting 3 (2013/14) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10010403324

Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach

Alsarhan, Abdulwahab A.; Khalifa, Ahmed A.A.; Al-Titi, Omar - In: American Journal of Finance and Accounting 3 (2013) 1, pp. 24-40

The paper investigates the impact of oil price volatility on the dynamics of systematic risk in eight equity sectors for Kuwait. To achieve this goal, it uses the Kalman filter approach to estimate the time-variant systematic risk in those sectors. This approach enables us to study the...

Persistent link: https://www.econbiz.de/10010700695