Showing 1 - 10 of 50
This article takes a time scale perspective to examine the interactions between crude oil and stock
Persistent link: https://www.econbiz.de/10010799066
In this article, we show how the copula-GARCH approach can be appro- priately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk management in extreme economic conditions. Using daily price...
Persistent link: https://www.econbiz.de/10010929408
Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method crucially...
Persistent link: https://www.econbiz.de/10011161633
The conduct of in ation targeting is heavily dependent on accurate in ation forecasts. Non-linear models have increasingly featured, along with linear counterparts, in the forecasting literature. In this study, we focus on forecasting South African in ation by means of non-linear models and...
Persistent link: https://www.econbiz.de/10011161635
In ation forecasts are a key ingredient for monetary policymaking - especially in an in ation targeting country such as South Africa. Generally, a typical Dynamic Stochastic General Equilibrium (DSGE) only includes a core set of variables. As such, other variables,e.g. such as alternative...
Persistent link: https://www.econbiz.de/10011161644
Micro-founded dynamic stochastic general equilibrium (DSGE) models appear to be particularly suited for evaluating the consequences of alternative macroeconomic policies. Recently, increasing efforts have been undertaken by policymakers to use these models for forecasting, although this proved...
Persistent link: https://www.econbiz.de/10010796407
As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...
Persistent link: https://www.econbiz.de/10010796417
This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...
Persistent link: https://www.econbiz.de/10010796419
This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on
Persistent link: https://www.econbiz.de/10010799068
This paper tests the time-varying degree of South Asian market integration using a conditional version of the International Capital Asset Pricing Model ICAPM, and applying a GDC-GARCH. The use of the GDC-GARCH technique allows us to, first, describe the timevarying stochastic conditional...
Persistent link: https://www.econbiz.de/10010799074