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Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors

Hammoudeh, Shawkat; Mensi, Walid; Reboredo, Juan Carlos; … - In: Pacific-Basin Finance Journal 30 (2014) C, pp. 189-206

conventional equity indices (Asia, Europe, and United States) and the global factors (oil prices, stock market implied volatility …

Persistent link: https://www.econbiz.de/10011116384

Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes

Mwamba, John W. Muteba; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This paper makes use of two types of extreme value distributions, namely: the generalised extreme value distribution often referred to as the block of maxima method (BMM), and the peak-over-threshold method (POT) of the extreme value distributions, to model the financial tail risks associated...

Persistent link: https://www.econbiz.de/10011105045

Risk spillovers in oil-related CDS, stock and credit markets

Hammoudeh, Shawkat; Liu, Tengdong; Chang, Chia-Lin; … - In: Energy Economics 36 (2013) C, pp. 526-535

-related Credit Default Swaps (CDS) indexes, the (expected equity volatility) VIX index and the (swaption expected volatility) SMOVE …

Persistent link: https://www.econbiz.de/10011039588

Are there long-run diversification gains from the Dow Jones Islamic Finance Index?

Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; … - Institut de Préparation à l'Administration et à la … - 2014

We compare nonlinear cointegration tests with the standard cointegration tests in studying the relationship of the Dow Jones Islamic finance index with three other conventional equity market indices. Our results show that there is a long-run nonlinear cointegrating relationship between the Dow...

Persistent link: https://www.econbiz.de/10010891061

Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?

Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; … - Department of Economics, Faculty of Economic and … - 2014

Persistent link: https://www.econbiz.de/10010938766

High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables

Araújo Santos, Paulo; Fraga Alves, Isabel; Hammoudeh, … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 487-496

Recurrent “black swans” financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high...

Persistent link: https://www.econbiz.de/10011056687

Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks

Hammoudeh, Shawkat; Araújo Santos, Paulo; Al-Hassan, … - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 318-334

Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient...

Persistent link: https://www.econbiz.de/10011056691

Risk Management of Precious Metals

Hammoudeh, Shawkat; Malik, Farooq; McAleer, Michael - Department of Economics and Finance, College of … - 2010

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and …

Persistent link: https://www.econbiz.de/10008493986

Risk Management and Financial Derivatives: An Overview

Hammoudeh, Shawkat; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2012

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

Persistent link: https://www.econbiz.de/10010731768

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

Persistent link: https://www.econbiz.de/10010732605