Title:Multivariate dependence risk and portfolio optimization : an application to mining stock portfolios Author(s):BEKIROS, Stelios D.; ARREOLA HERNANDEZ, Jose; HAMMOUDEH, Shawkat; KHUONG NGUYEN, DucDate:2015Citation:
- Resources policy : the international journal of minerals policy and economics, 2015, Vol. 46, No. 2, pp. 1–11
Type:ArticleAbstract:This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of ...
Title:Directional predictability and time-varying spillovers between stock markets and economic cycles Author(s):BEKIROS, Stelios D.; HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; REHMAN, Mobeen U.Date:2018Citation:
- Economic modelling, 2018, Vol. 69, pp. 301-312
Type:ArticleAbstract:We examine the nonlinear dependence structure and causal nexus between business cycles, stock market returns and asset return volatility for the US economy. We implement two novel methodologies, namely quantile-on-quantile ...
Title:Risk transmitters and receivers in global currency markets Author(s):HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; BEKIROS, Stelios D.; REHMAN, Mobeen U.Date:2018Citation:
- Finance research letters, 2018, Vol. 25, pp. 1-9
Type:ArticleAbstract:We implement a robust multi-scenario cross-quantilogram network approach to examine the strength and direction of interdependencies and spillover transmission among 25 developed, emerging, Middle Eastern and North African ...