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...

The crude oil price is generally considered as the fundamental factor in the valuation of undeveloped reserves but it is not the unique one. Undeveloped field value also depends on the uncertainty relating to the convenience yield and the risk-free interest rate. The purpose of this paper is to...

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...