The aim of this article is to examine: how the dynamics of correlations between five emerging countries (Argentina, Chili, Hungary, Russia and Poland), two emerging regions (Latin America (LAC) and Europe (EU)) and U.S. evolved from January 2004 to September 2011. The main contribution of this...

We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five major financial markets (equities, bonds,...

This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive set of 18 economic and financial predictors over a monthly out-of-sample period of 2000:2 to 2011:12, using an in-sample period of 1990:2-2000:1. To do so, we consider, in...

We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity....

The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot...

This paper shows that SMEs with the world financial crisis suffer more and more and they face a

This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008 -2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional...

Do Islamic equity indices have the same performance as their Conventional (mainstream) counterparts? In order to answer this question, this study attempts to investigate the issue of the performance of these indices using various measures. Unlike the previous works which focused on global...

This paper aims to study the performance of Islamic finance regarding that of conventional finance over the last decade. This question is particularly interesting as within the current financial crisis, conventional finance is being rather ineffectual and risky and that in the same time one can...

This article investigates the dynamics of conditional correlation among the G14 banks’ dealer for the credit default swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by Cappiello, Engle and Sheppard (2006), we examine if...