US stock markets and the role of real interest rates
Using weekly data from January 3, 2003 to March 27, 2015, we examine the responses of
US stock returns (S&P 500, DJIA, and NASDAQ) to monetary policy, controlling for WTI oil …
US stock returns (S&P 500, DJIA, and NASDAQ) to monetary policy, controlling for WTI oil …
Hedging downside risk of oil refineries: A vine copula approach
K Sukcharoen, DJ Leatham - Energy Economics, 2017 - Elsevier
The financial health of an oil refinery greatly depends on its refining margin or the difference
between the prices of its refined products (typically, gasoline and heating oil) and the cost of …
between the prices of its refined products (typically, gasoline and heating oil) and the cost of …
Risk implications of dependence in the commodities: A copula-based analysis
The study aims to quantify the risk between oil and a broad sample of commodities using
copulae tools to model the dependence structures. Using daily returns of commodity futures …
copulae tools to model the dependence structures. Using daily returns of commodity futures …
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
This paper aims to explore a modified method of high-dimensional dynamic variance–
covariance matrix estimation via risk factor mapping, which can yield a dependence …
covariance matrix estimation via risk factor mapping, which can yield a dependence …
Systemic risk measurement: bucketing global systemically important banks
The general consensus on the need to enhance the resilience of the financial system has
led to the imposition of higher capital requirements for certain institutions, supposedly based …
led to the imposition of higher capital requirements for certain institutions, supposedly based …
Macro asset allocation with social impact investments
Using a unique dataset of 50 listed companies that meet the majority of the OECD
requirements for social impact investments, we construct a social impact finance stock index …
requirements for social impact investments, we construct a social impact finance stock index …
Investigating causality effects in return volatility among five major futures markets in European countries with a Mediterranean connection
This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four
Eurozone countries-Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20)-spanning …
Eurozone countries-Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20)-spanning …
Конструкции из парных копул в задаче формирования портфеля акций
АИ Травкин - Прикладная эконометрика, 2013 - cyberleninka.ru
Задача выбора и оценки совместного распределения доходностей играет ключевую
роль при формировании инвестиционного портфеля. В качестве такого распределения …
роль при формировании инвестиционного портфеля. В качестве такого распределения …
Degradation in durability of magnesium oxychloride-coated reinforced steel concrete
W Penghui, Q Hongxia, F Qiong, C Hui - ACI Materials Journal, 2020 - search.proquest.com
Because of ordinary reinforced concrete s poor durability in saline soil areas and Qinghai
Salt Lake, magnesium oxychloride-coated steel-cement concrete was adopted in this area …
Salt Lake, magnesium oxychloride-coated steel-cement concrete was adopted in this area …
On the robustness of portfolio allocation under copula misspecification
AB Saida, J Prigent - Annals of Operations Research, 2018 - Springer
The copula theory allows to easily model the probability distributions of random vectors by
separately estimating the marginal distributions and the dependence structure of the …
separately estimating the marginal distributions and the dependence structure of the …