results in insignificant abnormal hedge returns. In contrast, investing based on the inflation effect on companies …’ nonmonetary holdings consistently yields economically and statistically significant abnormal hedge returns. These findings … indicate that inflation-based abnormal hedge returns are driven not by the exposure of companies’ net monetary holdings to …

financial instruments that can be successfully used to hedge unknown catastrophe risks. …

taus i.e. structural tail dependences between banks using three models: Gaussian, t, and Clay copula GARCH. Using fuzzy c …/03/2003 ~06/30/2006 are used to estimate the parameters of threshold copula GARCH model and Kendall taus. The out-of-sample data … contagion risk from Citigroup. Among three models, in low state, Gaussian and t copula models have the better significance of …

of returns across seven GCC stock markets over the period 2004-2013 using copula models. The results of the marginal … models indicate strong volatility persistence in all the seven equity markets. The results from the copula models indicate …