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Title:Money supply and inflation dynamics in the Asia-Pacific economies : a time-frequency approach Author(s):BEKIROS, Stelios D.
; MUZAFFAR, Ahmed T.; UDDIN, Gazi Salah; VIDAL-GARCIA, JavierDate:2017Citation:
- Studies in nonlinear dynamics & econometrics, 2017, Vol. 21, No. 3, OnlineOnly
Type:ArticleAbstract:We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us ...
; MUZAFFAR, Ahmed T.; UDDIN, Gazi Salah; VIDAL-GARCIA, JavierDate:2017Citation:
Title:Impact of speculation and economic uncertainty on commodity markets Author(s):ANDREASSON, Pierre; BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
- International review of financial analysis, 2016, Vol. 43, pp. 115-127
Type:ArticleAbstract:We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
Title:Implications for banking stability and welfare under capital shocks and countercyclical requirements Author(s):BEKIROS, Stelios D.; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/06Abstract:This paper incorporates anticipated and unexpected shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...
; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/06Abstract:This paper incorporates anticipated and unexpected shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...
Title:On the time scale behavior of equity-commodity links : implications for portfolio management Author(s):BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2016Citation:
- Journal of international financial markets, institutions and money, 2016, Vol. 41, pp. 30–46
Type:ArticleAbstract:We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2016Citation:
Title:Business cycle (de)synchronization in the aftermath of the global financial crisis : implications for the Euro Area Author(s):BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2015Citation:
- Studies in nonlinear dynamics & econometrics, 2015, Vol. 19, No. 5, pp. 609–624
Type:ArticleAbstract:The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi Salah; SJÖ, BoDate:2015Citation:
Title:The asymmetric relationship between returns and implied volatility : evidence from global stock markets Author(s):BEKIROS, Stelios D.; JLASSI, Mouna; NAOUI, Kamel; UDDIN, Gazi SalahDate:2017Citation:
- Journal of financial stability, 2017, Vol. 30, pp. 156-174
Type:ArticleAbstract:We investigate the asymmetric relationship between returns and implied volatility for 20 developed and emerging international markets. In particular we examine how the sign and size of return innovations affect the ...
; JLASSI, Mouna; NAOUI, Kamel; UDDIN, Gazi SalahDate:2017Citation:
Title:Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis Author(s):LABIDI, Chiaz; RAHMAN, Md Lutfur; HEDSTROEM, Axel; UDDIN, Gazi Salah; BEKIROS, Stelios D.Date:2018Citation:
- International review of financial analysis, Vol. 59, pp. 179-211
Type:ArticleAbstract:This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram ...
Date:2018Citation:
Title:Bank capital shocks and countercyclical requirements : implications for banking stability and welfare Author(s):BEKIROS, Stelios D.; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2018Citation:
- Journal of economic dynamics & control, 2018, Vol. 93, pp. 315-331
Type:ArticleAbstract:This paper incorporates anticipated and unanticipated shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...
; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2018Citation:
Title:The nexus between geopolitical uncertainty and crude oil markets : an entropy-based wavelet analysis Author(s):UDDIN, Gazi Salah; BEKIROS, Stelios D.; AHMED, AliDate:2018Citation:
- Physica A : statistical mechanics and its applications, 2018, Vol. 495, pp. 30-39
Type:ArticleAbstract:The global financial crisis and the subsequent geopolitical turbulence in energy markets have brought increased attention to the proper statistical modeling especially of the crude oil markets. In particular, we utilize a ...
; AHMED, AliDate:2018Citation: