Zobrazeno 1 - 10
of 147
pro vyhledávání: '"Arouri, Mohamed El Hedi"'
Autor:
Arouri, Mohamed El Hedi
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model t
Externí odkaz:
http://arxiv.org/abs/0905.3891
Autor:
Arouri, Mohamed El Hedi
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric pro
Externí odkaz:
http://arxiv.org/abs/0905.3875
Autor:
Arouri, Mohamed El Hedi, Jouini, Jamel
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation e
Externí odkaz:
http://arxiv.org/abs/0905.3873
Publikováno v:
Economics Bulletin 29, 1 (2009) 162-168
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market l
Externí odkaz:
http://arxiv.org/abs/0905.3874
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock market
Externí odkaz:
http://arxiv.org/abs/0905.3870
Autor:
Arouri, Mohamed El Hedi
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-var
Externí odkaz:
http://arxiv.org/abs/0905.3871
Publikováno v:
In Energy Economics November 2013 40:832-844
Autor:
Arouri, Mohamed El Hedi, Caporale, Guglielmo Maria, Rault, Christophe, Sova, Robert, Sova, Anamaria
Publikováno v:
In Ecological Economics September 2012 81:130-139
Publikováno v:
In Journal of Banking and Finance September 2012 36(9):2473-2493