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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect highly volatile global capital markets with the incomplete information, which are...
Persistent link: https://www.econbiz.de/10011107583
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An inflation expectations horserace
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10009647457
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Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise
Yu, Chao; Fang, Yue; Zhao, Xujie; Zhang, Bo - Volkswirtschaftliche Fakultät, … - 2013
This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...
Persistent link: https://www.econbiz.de/10011234839
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An application of MGARCH-DCC analysis on selected currencies in terms of gold Price
Mohamad, Sharifah Fairuz Syed; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
enhance investments in gold to avoid the element of ‘syubhah’ or doubts since gold has been used in the past for many … functions. Investment in gold has been in demand for the past few years especially in hedging strategies. In this paper, we … study the relationships between selected currencies in terms gold prices and their movements in volatility and correlation …
Persistent link: https://www.econbiz.de/10011185385
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Gold price movements in selected currencies: wavelet approach
Mohamad, Sharifah Fairuz Syed; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
Investment in gold has been in demand for the past few years especially in hedging strategies. At the same time …, various calls for gold to go back to its historical function even before the coming of Islam have been popular among Islamic … supporting gold as a currency. Many studies have been dedicated to the relationships between gold and various commodities and …
Persistent link: https://www.econbiz.de/10011185386
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Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula
Wanat, Stanisław; Papież, Monika; Śmiech, Sławomir - Volkswirtschaftliche Fakultät, … - 2014
prices: crude oil and gold. For the empirical analysis we use daily data from the period January 2, 1998 to June 30, 2014. To … stock market indexes. Third, only the price of gold depends on past values of stock market indexes for almost all sub-periods. …
Persistent link: https://www.econbiz.de/10011112914
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Is gold good for hedging? lessons from the Malaysian sectoral stock indices
Rahim, Yasmin; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2015
minimize the risk. Controversies pertaining to the role of gold and its stability to diversify the investment portfolio had … humble attempt to examine the correlation and causality between the Malaysian sectoral stock indices and gold applying … that gold was the most independent (exogenous) variable compared to the sectoral stock indices even during the 2008 …
Persistent link: https://www.econbiz.de/10011267877
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The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios
Nagayev, Ruslan; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2013
The paper is the first attempt to evaluate the role of gold as a hedge (negative or low correlation with equities in … for gold and Shariah-compliant equities ranging from January 1996 to April 2013, and comparing between developed and … emerging markets in time-frequency domain. Wavelet Coherence technique is applied to identify the best time-frequency for gold …
Persistent link: https://www.econbiz.de/10011107408
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Are oil, gold and the euro inter-related? time series and neural network analysis
Malliaris, A.G.; Malliaris, Mary - Volkswirtschaftliche Fakultät, … - 2011
This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and … are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited … neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of …
Persistent link: https://www.econbiz.de/10009370818
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Leverage, Sensitivity to Market Risk and Contagion: A Multi-Country Analysis for Shari’ah(Islamic) Stock Screening
el Alaoui, AbdelKader; Masih, Mansur; Bacha, Obiyathulla; … - Volkswirtschaftliche Fakultät, … - 2014
This study is the first attempt to investigate the relationship between firm’s leverage and systematic risk for seven European countries in relation to Shari’ah (Islamic) stock screening. This paper also aims to examine the shock transmission through the systematic risk and whether less debt...
Persistent link: https://www.econbiz.de/10011109107