Showing 1 - 10 of 11
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10010821166
This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylized exercise, we compute returns, standard deviations and correlations for various...
Persistent link: https://www.econbiz.de/10008793949
As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and...
Persistent link: https://www.econbiz.de/10010899467
The Islamic private equity (IPE) market has grown dramatically over the last few years. There are some similarities between venture capital (VC) and some traditional methods in Islamic financing. In medieval Islamic societies it is hard to pinpoint the starting of IPE but there were partnership...
Persistent link: https://www.econbiz.de/10010899105
This paper investigates risk and stability features of Islamic banking using a sample of 553 banks from 24 countries between 1999 and 2009. Small Islamic banks that are leveraged or based in countries with predominantly Muslim populations have lower credit risk than conventional banks. In terms...
Persistent link: https://www.econbiz.de/10010899528
Islam. Islamic law is not liberal. This explains why, in general, Muslin countries are generally not free. Colonisation … twentieth century was not just the century of Westernisation. It was also the century of the revival of Islam. The article … thesis. Therefore, there is a dependency on the past and on an imagined future. Islam acts, like yesterday, on the world of …
Persistent link: https://www.econbiz.de/10010605326
parce qu'il a permis de reconnaître les libertés et les droits individuels (1). Il montre, ensuite, que l'islam comme …
Persistent link: https://www.econbiz.de/10010635037
, Christianity divided into Roman Catholicism and Protestantisms, and Islam) have successively revealed the nature of accounting to …
Persistent link: https://www.econbiz.de/10010635269
law was of great importance, European colonisation, and the contemporary era with its movement towards a revival of Islam … just the century of Westernisation. It was also the century of the revival of Islam. The article concludes that the history … is a dependency on the past and on an imagined future. Islam acts, like yesterday, on the world of institutional …
Persistent link: https://www.econbiz.de/10011025901
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...
Persistent link: https://www.econbiz.de/10010738630