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...

The characterization of return distributions and forecast of asset‐price variability play a critical role in the study of financial markets. This study estimates four measures of integrated volatility—daily absolute returns, realized volatility, realized bipower volatility, and integrated...

Two recent nonlinear causality tests are used to examine the causal linkages across increasingly important international equity and commodity markets. We show that nonlinear causality is more appealing when asymmetric patterns are accounted for. The results are crucial to hedging and portfolio...

This paper applies the same methodology applied by Essayyad et al. (2009) to the construction of an alternative Euro dollar index. Specifically, it employs multivariate statistical tests to identify weights based on 12 economic and financial factors that are deemed theoretically more relevant in...

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...

This research is an inter-temporal update of an empirical paper published by Essayyad et al., which is based on work of Loretan and Nardo et al. We continue to employ the same principal component technique, to construct an alternative US Dollar Index to gauge movements in currency markets. The...

This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...

The paper is the first attempt to estimate systematic risk 'beta' at different time scales in the context of the emerging Gulf Cooperation Council (GCC) equity markets by applying a relatively new approach in finance known as wavelet analysis. Our results indicate that on average beta...