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Bootstrap causality tests of the relationship between the equity markets of the US and other developed countries : pre- and post-September 11

Hatemi-J, Abdulnasser; Roca, Eduardo; Buncic, Daniel - In: The journal of applied business research 22 (2006) 3, pp. 65-74

Persistent link: https://www.econbiz.de/10009881410

Estimating banks' equity duration: a panel cointegration approach

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 18 (2008) 14, pp. 1173-1180

Persistent link: https://www.econbiz.de/10008082484

Estimating banks' equity duration: a panel cointegration approach

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied financial economics 18 (2008) 13-15, pp. 1173-1180

Persistent link: https://www.econbiz.de/10008098205

How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic modelling 28 (2011) 6, pp. 2560-2566

Persistent link: https://www.econbiz.de/10009807706

A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied economics 44 (2012) 11, pp. 1443-1449

Persistent link: https://www.econbiz.de/10009817884

Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market : fresh evidence from alternative approaches

Hatemi-J, Abdulnasser; Roca, Eduardo; Mustafa, Alan - In: Journal of economic studies 50 (2023) 4, pp. 790-805

Persistent link: https://www.econbiz.de/10014252453

The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods

Hatemi-J, Abdulnasser; Roca, Eduardo - Department of Accounting, Finance and Economics, … - 2010

Persistent link: https://www.econbiz.de/10008456267

Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?

Hatemi-J, Abdulnasser; Maneschiöld, Per-Ola; Roca, Eduardo - In: Economia Internazionale / International Economics 61 (2008) 4, pp. 665-685

This paper tests for equity market integration between Sweden and EU countries represented by Germany and France. A new causality test method developed by Hacker and Hatemi-J (2006) is applied. This method performs better than the other methods because it is robust to non-normality and the...

Persistent link: https://www.econbiz.de/10004981534

A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Economic Modelling 23 (2006) 6, pp. 993-1007

Persistent link: https://www.econbiz.de/10005171317

Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries

Hatemi-J, Abdulnasser; Roca, Eduardo - In: Applied Financial Economics 15 (2005) 8, pp. 539-546

Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in...

Persistent link: https://www.econbiz.de/10005485210