The methodology of building up a dollar index capturing the appropriate weights of different currencies of trading partners has been challenged. This paper tries to suggest a methodological improvement. The authors employ multivariate statistical techniques to identify appropriate financial and...

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...