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depocen@depocen.org
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024 39351419
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024 39351418
Mohamed El Hedi Arouri
Diversification benefits and strategic portfolio allocation across asset classes: the case of the US...
Xuất bản:
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 abstractModeling nonlinear and heterogeneous dynamic linkages in international monetary markets
Xuất bản:
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:
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...
The Comovements in International Stock Markets: New evidence from Latin American Emerging Countries.
Xuất bản:
We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification. The...