Access Statistics for Abdulnasser Hatemi-J

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance 0 1 4 310 2 8 33 778
A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts 1 1 1 74 4 5 17 215
A New Asymmetric GARCH Model: Testing, Estimation and Application 0 0 0 117 2 4 10 207
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios 1 1 2 18 2 5 11 30
An Asymmetric Capital Asset Pricing Model 0 2 2 9 2 7 24 47
Are Real Estate Markets Integrated with the World Market? 0 0 0 49 3 3 3 143
Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries? 0 0 0 23 3 6 14 326
Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers 0 0 0 36 2 5 15 230
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 0 0 6 206 4 14 46 516
Asymmetric generalized impulse responses and variance decompositions with an application 0 0 0 256 3 6 17 593
BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests 0 0 1 109 0 0 7 211
Bear Markets and Recessions versus Bull Markets and Expansions 0 0 0 21 0 0 10 75
Computation of second order price sensitivities in depressed markets 0 0 0 33 1 1 7 73
Dynamic Asymmetric Causality Tests with an Application 1 1 5 77 1 2 19 137
Efficient Asymmetric Causality Tests 2 2 4 39 4 6 33 82
Estimating Optimal Hedge Ratio with Unknown Structural Breaks 0 0 0 75 2 3 12 188
Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology 0 0 0 0 0 0 7 419
Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return 0 0 0 44 1 2 9 124
Fiscal Policy in Sweden: Effects of EMU Criteria Convergence 0 0 0 69 2 3 8 2,065
Hidden panel cointegration 0 0 0 139 1 2 7 275
Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests 0 0 0 26 1 2 9 167
Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing 0 0 0 65 4 6 17 122
Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis 0 0 0 53 2 10 23 123
On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies 0 0 1 16 1 5 15 35
On option pricing in illiquid markets with jumps 0 0 0 15 3 4 8 63
On option pricing in illiquid markets with random jumps 0 0 0 22 3 3 9 89
On the Asymmetric Volatility Connectedness 0 0 2 24 0 0 16 48
On the calculation of price sensitivities with jump-diffusion structure 0 0 0 25 1 2 3 119
On the pricing and hedging of options for highly volatile periods 0 0 0 15 1 1 5 45
On the pricing and hedging of options for highly volatile periods 0 0 0 29 2 3 8 76
Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing 0 0 0 0 4 5 15 269
Stochastic optimal hedge ratio: Theory and evidence 0 0 1 76 1 3 9 263
Testing for Financial Market Integration of the Chinese Market with the US Market 0 0 0 66 0 2 11 211
Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin 0 0 0 6 2 6 21 43
The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 0 0 37 4 10 27 178
The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners 0 0 0 2 3 5 8 374
The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation 0 0 3 25 6 10 27 98
The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods 0 0 0 69 2 3 7 330
The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing 1 2 7 444 12 14 39 1,308
Valuation of Currency Options in Markets with a Crunch 0 0 0 17 2 3 8 69
Total Working Papers 6 10 39 2,736 93 179 594 10,764

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A bootstrap test for causality with endogenous lag length choice: theory and application in finance 1 1 9 97 2 8 35 329
A bootstrap-corrected causality test: another look at the money–income relationship 0 0 0 129 6 7 10 319
A new method to choose optimal lag order in stable and unstable VAR models 1 1 6 223 2 5 19 520
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods 0 0 1 64 2 2 11 173
A re-examination of the Fisher effect using an alternative approach 0 0 0 27 3 3 8 90
A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks 0 0 0 30 2 4 18 145
A test for multivariate ARCH effects 0 1 6 823 3 5 29 3,024
An Asymmetric Capital Asset Pricing Model 0 2 6 6 7 12 29 29
An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al 0 0 0 15 3 5 11 230
An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato az 0 0 0 28 2 3 9 194
An empirical analysis of the informational efficiency of Australian equity markets 0 0 0 32 1 1 3 132
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation 0 0 0 90 1 1 12 335
An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method 0 0 0 58 5 6 10 305
An extension of the asymmetric causality tests for dealing with deterministic trend components 0 0 2 31 1 2 24 104
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 0 0 3 64 7 23 36 166
Asymmetric causality between military expenditures and economic growth in top six defense spenders 0 2 3 48 1 6 19 158
Asymmetric causality tests with an application 1 3 16 800 5 10 55 2,193
Asymmetric generalized impulse responses with an application in finance 0 0 7 499 4 11 64 1,695
Asymmetric interaction between government spending and terms of trade volatility 0 0 1 22 4 4 9 54
BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests 0 0 0 5 1 2 6 21
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach 1 2 10 418 6 11 35 1,724
Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? 0 0 1 470 5 9 36 2,157
Capital mobility in Sweden: a time-varying parameter approach 0 0 0 49 1 1 4 185
Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione al 0 0 0 8 2 2 6 139
Do birds of the same feather flock together?: The case of the Chinese states equity markets 0 0 0 85 1 1 4 905
Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance? 0 0 0 0 3 3 7 105
Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners? 0 0 0 7 1 2 6 187
Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note 0 0 0 16 3 4 10 108
Empirical Analysis of Business Growth Factors Using Swedish Data 0 1 2 3 2 3 13 22
Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000 0 0 0 522 0 1 7 1,557
Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners 0 0 0 35 1 1 7 128
Estimating banks' equity duration: a panel cointegration approach 0 0 0 46 2 4 13 179
Estimating the optimal hedge ratio in the presence of potential unknown structural breaks 0 0 0 7 1 1 3 54
Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return 0 0 1 4 5 10 22 51
Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries 0 0 0 230 0 0 9 592
Export performance and economic growth causality: An empirical analysis 0 0 0 101 1 2 8 280
Export performance and economic growth nexus in Japan: a bootstrap approach 1 1 4 165 2 5 19 474
FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION 0 0 0 149 2 5 12 452
Fiscal policy in Sweden: effects of EMU criteria convergence 0 0 1 116 3 5 8 398
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models 0 0 0 13 4 6 16 62
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test 0 0 0 23 0 1 11 181
How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis 0 0 0 19 1 5 18 140
How productivity and domestic output are related to exports and foreign output in the case of Sweden 0 0 0 68 1 3 9 312
Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests 0 0 0 22 0 1 8 85
Investigating Causal Relations between Fixed Investment and Economic Growth 0 0 0 0 0 0 4 170
Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis 0 0 0 77 3 5 13 306
Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis 0 0 0 0 0 2 6 170
Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter 0 0 1 117 1 2 9 416
Is the J-Curve Effect Observable for Small North European Economies? 0 0 0 121 3 8 13 445
Is the Swedish Stock Market Becoming more Integrated with those of Germany and France? 0 0 0 15 2 4 9 230
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing 0 0 0 66 3 19 34 231
Is the causal nexus of energy utilization and economic growth asymmetric in the US? 0 0 0 44 1 1 15 188
Is the tourism-led growth hypothesis valid for Turkey? 1 1 5 524 3 17 41 1,483
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility 0 0 0 55 2 2 6 152
Model selection in time series analysis: using information criteria as an alternative to hypothesis testing 0 0 3 6 6 11 34 49
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions 0 0 0 51 2 2 8 256
Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin 0 0 2 45 2 2 10 196
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology 0 0 0 0 4 4 14 96
Multivariate tests for autocorrelation in the stable and unstable VAR models 2 4 28 1,369 6 12 83 4,072
Multivariate-based causality tests of twin deficits in the US 0 0 0 128 0 2 6 392
Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis 0 0 2 23 9 21 55 140
On a regime switching illiquid high volatile prediction model for cryptocurrencies 0 0 1 1 2 3 12 17
On the Causality between Exchange Rates and Stock Prices: A Note 0 0 0 0 4 4 13 640
On the causal nexus of remittances and poverty reduction in Bangladesh 1 1 1 60 6 7 18 166
On the interaction between government spending and economic performance in Sweden: an asymmetric approach 0 0 0 22 0 1 9 69
On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments 0 0 1 12 5 7 13 47
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH 0 3 11 622 2 7 36 2,147
Option valuation and hedging in markets with a crunch 0 0 0 12 2 3 5 52
Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model 0 0 4 18 4 5 21 72
Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods 0 1 2 18 9 12 27 63
Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches 0 0 1 10 4 5 10 28
Portfolio selection: An alternative approach 0 0 9 260 7 12 58 1,516
Pricing strategy, mark-up adjustment and foreign competition in the car industry 0 0 0 4 2 2 5 24
Productivity Performance and Export Performance: A Time-Series Perspective 0 0 1 224 5 5 12 841
Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing 0 0 0 44 1 6 17 154
Stochastic optimal hedge ratio: theory and evidence 0 0 0 16 2 2 8 111
Stock Price and Volume Relation in Emerging Markets 0 0 0 224 2 4 7 648
Testing for Financial Market Integration of the UAE Market with the Global Market 0 0 0 11 3 4 8 82
Testing for the Tourism Led Economic Growth Hypothesis in Sweden with Structural Breaks 0 0 1 22 2 4 13 63
Testing for the government's intertemporal budget restriction in Brazil during 1823--1889 0 0 0 34 3 4 10 133
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application 0 0 10 2,806 3 10 59 8,021
Tests for cointegration with two unknown regime shifts with an application to financial market integration 1 2 15 1,976 4 8 47 4,697
The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 0 0 2 1 5 11 21
The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach 0 1 1 50 3 6 16 185
The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation 0 1 5 15 8 19 58 93
The Fisher effect: a Kalman filter approach to detecting structural change 0 0 1 81 4 7 16 241
The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods 0 0 2 67 3 12 26 261
The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti 0 0 0 20 2 4 14 163
The Risk-Adjusted Interest Rate Parity: Panel Data Evidence 0 0 0 0 4 5 10 678
The causal interaction between financial development and human development in Bangladesh 0 0 1 58 2 2 11 152
The causal nexus of government spending and revenue in Finland: a bootstrap approach 0 0 0 64 1 3 8 275
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations 0 0 0 24 1 1 10 131
The effect of exchange rate changes on trade balances in the short and long run 0 1 3 376 4 8 30 1,407
The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests 0 0 1 27 1 1 16 102
The effect of regime shifts on the long-run relationships for Swedish money demand 0 0 1 59 1 2 12 191
The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach 0 0 0 4 0 3 9 25
The response of industry employment to exchange rate shocks: evidence from panel cointegration 0 0 1 119 3 4 14 318
Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter 0 0 1 51 4 9 14 464
Time-series evidence for Balassa's export-led growth hypothesis 0 0 0 42 1 2 5 118
Trade openness and economic development in the UAE: an asymmetric approach 0 0 0 68 3 7 16 178
US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11 0 0 0 10 1 1 7 118
Total Journal Articles 10 29 194 15,841 275 536 1,779 54,397
9 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades? 0 0 0 8 2 3 8 28
Total Chapters 0 0 0 8 2 3 8 28

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ACTEST: GAUSS module to Apply Asymmetric Causality Tests 2 8 49 2,001 3 13 95 3,659
ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components 0 3 9 439 3 7 33 893
ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums 0 1 3 68 2 9 21 271
CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks 0 2 16 1,495 2 12 69 3,106
ContagT: GAUSS module to implement a pairwise bootstrap test for contagion 0 0 1 214 1 3 14 612
DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests 1 5 19 241 2 11 42 479
GMDLBCT: GAUSS module for Implementing Dynamic Leverage Bootstrap Contagion Tests 0 2 9 9 5 10 34 34
HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order 1 4 20 928 1 9 47 1,808
HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments 0 0 3 398 1 2 15 847
HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion 0 0 3 60 0 1 17 242
LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model 0 0 1 122 0 1 7 398
LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria 0 0 2 280 2 3 19 712
MODELSEL: GAUSS module for Model Selection in Time Series Analysis 0 0 1 29 1 3 18 115
MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model 0 0 2 183 4 6 16 534
MV-ARCH: GAUSS module to implement the multivariate ARCH test 0 0 0 310 1 2 12 763
OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods 0 0 1 22 1 2 33 159
PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return 0 0 0 33 4 5 18 200
PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts 0 2 16 87 6 26 66 293
PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio 0 0 0 19 3 6 15 68
PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities 0 0 1 28 1 2 15 160
PyCPTAM: Python Module for Constructing Portfolios via Two Alternative Methods 0 1 1 33 5 8 23 127
TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts 0 2 2 124 2 4 16 365
Total Software Items 4 30 159 7,123 50 145 645 15,845

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