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Measuring stock market volatility in oecd economy
GUESMI, khaled; Kazi, Irfan; Akbar, Farhan - In: Economics Bulletin 31 (2011) 4, pp. 58-58
The paper applies Markov Regime Switching Model (MRSM) to investigate the volatility behaviour of seventeen OECD stock markets (U.S.A, France, Ireland, Italy, Netherlands, Spain, Denmark, Norway, Sweden, Switzerland, UK, Australia, Japan) for the period 2004-2010. The results distinguish between...
Persistent link: https://www.econbiz.de/10010630321
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An analysis of exchange rate risk exposure related to public debt portfolio of Pakistan : beyond delta-normal VAR approach
Akbar, Farhan; Chauveau, Thierry - 2009
Persistent link: https://www.econbiz.de/10003863700
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Exchange rate risk exposure related to public debt portfolio of Pakistan : application of value-at-risk approaches
Akbar, Farhan; Chauveau, Thierry - In: Research bulletin / State Bank of Pakistan 5 (2009) 2, pp. 15-33
Persistent link: https://www.econbiz.de/10003958748
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Exchange rate risk exposure related to public debt portfolio of Pakistan : application of value-at-risk approaches
Akbar, Farhan; Chauveau, Thierry - In: Research bulletin / State Bank of Pakistan 5 (2009) 2, pp. 15-33
Persistent link: https://www.econbiz.de/10009942896
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Does shift contagion exist between OECD stock markets during the financial crisis?
Guesmi, Khaled; Kaabia, Olfa; Kazi, Irfan - In: The journal of applied business research 29 (2013) 2, pp. 469-484
Persistent link: https://www.econbiz.de/10010117226
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Jump dynamics and volatility components for OECD stock returns
Guesmi, Khaled; Akbar, Farhan; Kazi, Irfan Akbar; … - In: The journal of applied business research 29 (2013) 3, pp. 777-792
Persistent link: https://www.econbiz.de/10009771583
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The shift-contagion effect of global financial crisis and the European sovereign debt crisis on OECD countries
Kazi, Irfan Akbar; Mehanaoui, Mohamed; Akbar, Farhan - In: The journal of applied business research 30 (2014) 1, pp. 301-311
Persistent link: https://www.econbiz.de/10010252035
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The changing international transmission of US monetary policy shocks : is there evidence of contagion effect on OECD countries
Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economic modelling 30 (2013), pp. 90-116
Persistent link: https://www.econbiz.de/10009703715
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The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries
Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major...
Persistent link: https://www.econbiz.de/10010552492
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The changing international transmission of us monetary policy shocks: is there evidence of contagion effect on oecd countries
Kazi, Irfan akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economics Bulletin 31 (2011) 4, pp. 49-49
We study the changing international transmission of US monetary policy shocks to 14 OECD countries over the period 1981-2010. We use a Time Varying Parameter Factor Augmented VAR approach (TVP-FAVAR) to study the EFFR shocks together with a large data set of 265, major financial, macroeconomic...
Persistent link: https://www.econbiz.de/10010835853