Browsing Finance & Economics by Author "Al-Jarrah I.M.W."
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Portfolio management and dependencies among precious metal markets: Evidence from a Copula quantile-on-quantile approach
Al-Yahyaee K.H.; Mensi W.; Maitra D.; Al-Jarrah I.M.W. ( Elsevier Ltd , 2019 , Article)This study examines the dependence structure among four major precious metal markets: gold, palladium, platinum, and silver. Using the novel Copula Quantile-on-Quantile Regression (C-QQR) approach of Sim (2016), we show ... -
Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets
Al-yahyaee K.H.; Mensi W.; Al-Jarrah I.M.W.; Tiwari A.K. ( Elsevier B.V. , 2019 , Article)This paper studies the Granger-causality between the U.S. stock market and five stock markets in so-called ‘debtor countries’ of the European Union: Greece, Ireland, Portugal, Spain and Italy (GIPSI). We consider four novel ...