Purpose: This study aims to shed more light on the relationship between probability of default, investment horizons and rating classes to make decision-making processes more efficient. Design/methodology/approach: Based on credit default swaps (CDS) spreads, a methodology is implemented to...

Understanding the interrelationships of global macro assets is crucial for the global macro investing. This paper investigates the local variance and the interconnection between stock, gold, oil, forex and implied volatility markets in time-frequency domains using wavelet methodology, including...

The major problem facing olive oil producers each winter campaign, contrary to what is expected, is not whether the harvest will be good or not but whether the sale price will allow them to cover production costs and achieve a reasonable margin of profit or not. The aim of this paper is to study...

In the context of globalization, through a growing process of market liberalization, advanced technology and economic trading bloc, national stock markets have become more interdependent, which limits the international portfolio diversification opportunities. This paper investigates the degree...

In a basket managed foreign exchange rate arrangement, the volatility of the domestic money should exhibit a particular pattern: (1) it is reduced due to the diversification effect by linking the domestic money to a portfolio of currencies and frequent interventions of policymakers, (2) it...

The objective of this paper is to evaluate the relative attractiveness of seven MENA countries (Algeria, Egypt, Iran, Saudi Arabia, Morocco, Tunisia and Turkey) as a location for foreign portfolio investment (FPI) from the G7 investors viewpoint. We suggest a methodology based on the combination...

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives. We first present the wellknown result for the pricing of default risk, when there is only one defaultable...