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depocen@depocen.org
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024 39351419
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024 39351418
Duc Khuong Nguyen
Diversification benefits and strategic portfolio allocation across asset classes: the case of the US...
Xuất bản: 27 July, 2022
We investigate the diversification benefits and optimal portfolio allocation across different US asset classes. Our results from applying the principal component analysis (PCA) show that although there is an increasing trend in market integration, five...
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View abstractA wavelet-based copula approach for modeling market risk in agricultural commodity markets
Xuất bản: 27 July, 2022
We consider the problem of accurate market risk modeling for agricultural commodity products over heterogeneous investment horizons using copulas and wavelet methods. Our results indicate that the degree and structure of the dependence of daily commodity...
Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure...
Xuất bản: 27 July, 2022
The paper examines the extent of the current global crisis and the contagion effects it induces by conducting an empirical investigation of the extreme financial interde- pendences of some selected emerging markets with the US. Several copula functions...
Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets
Xuất bản: 27 July, 2022
In this paper we examine the dynamic linkages of international monetary markets over the 2004 – 2009 period using daily short-term interbank interest rates of three of the most advanced countries (France, United Kingdom and United States). Empirical...
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long...
Xuất bản: 27 July, 2022
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks...
Does macroeconomic transparency help governments be solvent? Evidence from recent data.
Xuất bản: 27 July, 2022
This paper investigates whether macroeconomic and data transparency standards lead to lower borrowing costs in sovereign bond markets. We essentially show that emerging market countries which subscribed to the Special Data Dissemination Standard (SDDS)...
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