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 3 7 22 249 7 15 43 569
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 6 13 58 2 15 38 140
A New Asymmetric GARCH Model: Testing, Estimation and Application 0 0 1 113 2 3 8 181
Are Real Estate Markets Integrated with the World Market? 0 0 0 48 0 0 4 124
Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries? 0 0 0 23 4 8 27 258
Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers 0 0 0 36 3 5 22 197
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 2 7 36 160 11 27 91 358
Asymmetric generalized impulse responses and variance decompositions with an application 0 0 3 249 1 1 14 553
BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests 0 2 8 99 0 3 17 177
Bear Markets and Recessions versus Bull Markets and Expansions 0 0 17 17 0 6 30 30
Computation of second order price sensitivities in depressed markets 0 0 0 32 0 1 1 55
Estimating Optimal Hedge Ratio with Unknown Structural Breaks 0 0 1 71 0 2 5 166
Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology 0 0 0 0 0 1 1 407
Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return 0 0 3 36 4 5 25 76
Fiscal Policy in Sweden: Effects of EMU Criteria Convergence 0 0 0 69 1 4 6 2,055
Hidden panel cointegration 1 1 3 128 3 5 17 234
Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests 0 0 0 26 1 2 20 130
Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing 0 0 2 57 1 2 8 77
Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis 0 0 0 53 2 3 13 85
On option pricing in illiquid markets with jumps 0 0 0 12 0 1 3 44
On option pricing in illiquid markets with random jumps 0 1 1 20 0 1 2 57
On the calculation of price sensitivities with jump-diffusion structure 0 0 0 22 0 0 5 105
On the pricing and hedging of options for highly volatile periods 0 0 0 13 1 1 3 34
On the pricing and hedging of options for highly volatile periods 0 0 0 29 0 2 3 64
Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing 0 0 0 0 3 4 12 238
Stochastic optimal hedge ratio: Theory and evidence 0 0 0 72 0 0 2 240
Testing for Financial Market Integration of the Chinese Market with the US Market 0 0 0 61 8 11 33 127
The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 0 0 36 6 14 51 101
The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners 0 0 0 2 1 1 2 362
The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation 0 0 1 14 0 0 4 46
The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods 0 0 2 68 0 5 13 239
The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing 1 2 26 344 9 25 115 1,068
Valuation of Currency Options in Markets with a Crunch 0 0 1 16 1 2 7 49
Total Working Papers 8 26 140 2,233 71 175 645 8,646


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 3 3 8 74 8 9 27 228
A bootstrap-corrected causality test: another look at the money–income relationship 0 0 1 127 0 0 3 303
A new method to choose optimal lag order in stable and unstable VAR models 0 0 1 205 2 3 14 471
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods 0 0 0 61 1 1 4 152
A re-examination of the Fisher effect using an alternative approach 0 0 0 26 0 1 3 70
A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks 0 0 0 29 0 0 2 114
A test for multivariate ARCH effects 0 2 11 780 9 23 105 2,847
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 mercato USA 0 0 1 15 16 33 40 208
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 azionario e tasso di cambio negli Emirati Arabi 0 0 0 17 1 1 6 166
An alternative method to test for contagion with an application to the Asian financial crisis 0 0 0 194 0 0 1 513
An empirical analysis of the informational efficiency of Australian equity markets 0 0 0 32 1 2 6 122
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation 0 0 1 87 4 6 10 307
An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method 0 0 0 58 0 0 1 289
An extension of the asymmetric causality tests for dealing with deterministic trend components 0 0 2 21 1 1 11 52
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 2 9 17 17 3 14 32 32
Asymmetric causality between military expenditures and economic growth in top six defense spenders 1 4 7 30 3 10 28 102
Asymmetric causality tests with an application 9 19 68 623 31 75 227 1,702
Asymmetric generalized impulse responses with an application in finance 7 18 70 342 24 58 257 1,152
Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique 0 1 2 17 0 2 6 29
BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests 0 0 1 5 0 0 3 12
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach 0 0 3 400 1 3 13 1,653
Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? 1 2 14 440 16 29 122 1,919
Capital mobility in Sweden: a time-varying parameter approach 0 0 0 46 0 0 4 164
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 all’Unione europea? 1 1 1 8 1 1 3 129
Do birds of the same feather flock together?: The case of the Chinese states equity markets 0 1 1 84 0 2 5 888
Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance? 0 0 0 0 0 0 2 89
Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners? 0 0 0 7 1 1 5 170
Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note 0 0 1 14 0 0 5 88
Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000 0 0 0 513 1 3 15 1,523
Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners 0 0 0 35 0 0 1 118
Estimating banks' equity duration: a panel cointegration approach 0 0 0 45 0 0 5 162
Estimating the optimal hedge ratio in the presence of potential unknown structural breaks 0 0 0 6 0 1 6 46
Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries 0 0 4 229 3 3 13 576
Export performance and economic growth causality: An empirical analysis 1 2 4 92 3 6 16 239
Export performance and economic growth nexus in Japan: a bootstrap approach 0 2 3 156 1 4 10 429
FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION 0 1 3 133 4 6 27 373
Fiscal policy in Sweden: effects of EMU criteria convergence 0 0 0 114 1 1 3 373
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models 0 0 0 9 0 0 1 36
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test 0 0 0 19 0 4 7 111
How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis 0 0 0 16 2 4 7 108
How productivity and domestic output are related to exports and foreign output in the case of Sweden 0 0 0 66 2 2 3 290
Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests 1 1 4 9 2 4 21 40
Investigating Causal Relations between Fixed Investment and Economic Growth 0 0 0 0 0 0 3 152
Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis 0 0 0 77 0 1 2 286
Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis 0 0 0 0 0 1 4 151
Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter 0 0 0 113 0 1 4 397
Is the J-Curve Effect Observable for Small North European Economies? 0 1 5 119 0 4 18 410
Is the Swedish Stock Market Becoming more Integrated with those of Germany and France? 1 1 1 11 1 1 3 205
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing 1 2 5 61 2 4 12 180
Is the causal nexus of energy utilization and economic growth asymmetric in the US? 0 1 1 39 1 5 13 133
Is the tourism-led growth hypothesis valid for Turkey? 2 5 13 494 5 12 39 1,360
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility 0 0 0 54 0 0 0 140
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions 0 0 0 48 0 1 2 232
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 cointegrazione nascosta 0 0 2 35 0 0 11 168
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology 0 0 0 0 0 1 7 79
Multivariate tests for autocorrelation in the stable and unstable VAR models 10 26 97 1,119 30 73 296 3,329
Multivariate-based causality tests of twin deficits in the US 0 0 1 127 0 0 7 380
Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis 3 3 6 10 5 7 24 41
On the Causality between Exchange Rates and Stock Prices: A Note 0 0 0 0 0 0 3 613
On the causal nexus of remittances and poverty reduction in Bangladesh 2 3 6 43 2 7 19 106
On the interaction between government spending and economic performance in Sweden: an asymmetric approach 0 0 1 21 0 1 3 53
On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments 0 0 3 8 0 1 6 23
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH 6 8 32 551 21 35 139 1,843
Option valuation and hedging in markets with a crunch 0 2 4 7 1 4 11 27
Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model 0 0 0 0 2 3 7 7
Portfolio selection: An alternative approach 3 10 32 184 10 39 207 1,133
Pricing strategy, mark-up adjustment and foreign competition in the car industry 0 0 1 4 1 1 3 9
Productivity Performance and Export Performance: A Time-Series Perspective 1 1 2 209 1 2 12 720
Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing 2 3 3 32 4 7 11 101
Stochastic optimal hedge ratio: theory and evidence 0 0 0 15 0 0 3 91
Stock Price and Volume Relation in Emerging Markets 0 0 0 221 0 0 2 626
Testing for Financial Market Integration of the UAE Market with the Global Market 0 0 2 8 5 9 28 45
Testing for the government's intertemporal budget restriction in Brazil during 1823--1889 0 0 0 34 0 1 2 118
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application 10 14 55 2,642 33 67 257 7,374
Tests for cointegration with two unknown regime shifts with an application to financial market integration 4 4 46 1,851 25 50 186 4,357
The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach 1 3 10 22 1 5 31 69
The Fisher effect: a Kalman filter approach to detecting structural change 0 0 1 77 0 1 6 211
The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods 0 2 5 49 0 7 42 178
The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti 0 0 2 18 1 4 24 134
The Risk-Adjusted Interest Rate Parity: Panel Data Evidence 0 0 0 0 5 7 16 630
The causal interaction between financial development and human development in Bangladesh 1 4 8 46 2 8 22 112
The causal nexus of government spending and revenue in Finland: a bootstrap approach 0 1 1 64 0 1 2 259
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations 0 0 0 22 1 2 3 113
The effect of exchange rate changes on trade balances in the short and long run 2 6 16 332 8 26 88 1,237
The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests 0 0 2 18 2 3 10 52
The effect of regime shifts on the long-run relationships for Swedish money demand 0 0 0 48 0 1 5 159
The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach 0 0 1 1 1 1 6 6
The response of industry employment to exchange rate shocks: evidence from panel cointegration 0 0 1 115 1 2 6 293
Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter 0 0 1 39 0 1 9 409
Time-series evidence for Balassa's export-led growth hypothesis 0 0 1 42 0 0 6 107
Trade openness and economic development in the UAE: an asymmetric approach 5 6 20 44 8 15 48 109
US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11 0 0 2 10 0 0 3 107
Total Journal Articles 80 172 617 14,285 321 735 2,751 47,469


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 5 5 3 3 11 11
Total Chapters 0 0 5 5 3 3 11 11


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 29 78 241 1,481 44 128 442 2,633
ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components 3 9 31 358 4 13 65 692
ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums 0 1 4 50 0 6 36 195
CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks 12 37 157 1,232 39 99 378 2,415
ContagT: GAUSS module to implement a pairwise bootstrap test for contagion 0 2 6 198 0 2 20 554
HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order 15 32 108 741 24 50 213 1,398
HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments 1 5 14 364 2 10 28 755
HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion 1 1 2 50 2 6 17 175
LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model 1 2 4 117 2 5 22 362
LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria 0 1 2 269 1 2 12 657
MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model 1 1 2 176 1 3 12 491
MV-ARCH: GAUSS module to implement the multivariate ARCH test 2 4 18 279 4 11 50 667
OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods 3 3 3 3 33 33 33 33
PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return 1 2 17 17 6 14 119 119
TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts 0 1 15 104 2 12 42 264
Total Software Items 69 179 624 5,439 164 394 1,489 11,410


Statistics updated 2021-04-06