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 1 7 22 224 4 12 44 511
A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts 2 5 12 39 2 8 26 88
A New Asymmetric GARCH Model: Testing, Estimation and Application 0 1 4 110 0 2 15 169
Are Real Estate Markets Integrated with the World Market? 0 0 3 48 0 1 6 115
Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries? 0 0 0 23 3 7 30 226
Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers 0 0 0 36 1 5 21 168
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 0 2 15 117 2 6 48 241
Asymmetric generalized impulse responses and variance decompositions with an application 0 0 6 242 1 3 16 533
BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests 0 1 5 89 1 4 15 154
Computation of second order price sensitivities in depressed markets 0 1 1 32 1 3 10 49
Estimating Optimal Hedge Ratio with Unknown Structural Breaks 0 0 2 69 0 0 4 156
Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology 0 0 0 0 0 1 2 405
Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return 2 6 30 30 5 12 35 35
Fiscal Policy in Sweden: Effects of EMU Criteria Convergence 0 0 0 69 3 6 8 2,045
Hidden panel cointegration 0 1 5 122 0 6 12 212
Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests 0 0 1 26 3 8 58 97
Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing 0 3 9 55 1 10 34 63
Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis 0 0 53 53 2 7 66 66
On option pricing in illiquid markets with jumps 0 0 1 11 0 0 3 36
On option pricing in illiquid markets with random jumps 0 0 1 19 0 0 2 51
On the calculation of price sensitivities with jump-diffusion structure 0 0 1 22 0 0 2 97
On the pricing and hedging of options for highly volatile periods 0 1 1 13 0 1 2 25
On the pricing and hedging of options for highly volatile periods 0 0 0 29 1 2 3 61
Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing 0 0 0 0 2 5 14 222
Stochastic optimal hedge ratio: Theory and evidence 0 0 1 72 0 0 10 236
Testing for Financial Market Integration of the Chinese Market with the US Market 0 1 2 60 0 2 7 86
The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 28 28 28 3 30 30 30
The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners 0 0 0 2 0 0 3 359
The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation 0 1 3 13 1 3 15 34
The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods 0 0 2 66 0 0 3 213
The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing 2 13 34 303 11 36 131 905
Valuation of Currency Options in Markets with a Crunch 0 1 4 14 0 3 15 37
Total Working Papers 7 72 246 2,036 47 183 690 7,725


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 0 2 3 62 3 8 22 188
A bootstrap-corrected causality test: another look at the money–income relationship 0 0 1 126 2 2 3 295
A new method to choose optimal lag order in stable and unstable VAR models 0 0 2 204 0 3 10 456
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods 0 0 0 61 0 0 3 146
A re-examination of the Fisher effect using an alternative approach 0 0 0 24 0 0 2 64
A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks 0 1 1 28 0 3 4 108
A test for multivariate ARCH effects 0 1 11 761 8 26 105 2,700
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 2 14 1 1 5 161
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 1 16 0 1 11 157
An alternative method to test for contagion with an application to the Asian financial crisis 0 0 1 194 1 1 3 509
An empirical analysis of the informational efficiency of Australian equity markets 0 0 0 32 1 1 1 114
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation 0 1 6 82 1 3 18 290
An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method 0 0 0 58 0 0 0 283
An extension of the asymmetric causality tests for dealing with deterministic trend components 0 1 8 16 0 3 15 33
Asymmetric causality between military expenditures and economic growth in top six defense spenders 0 3 17 20 0 12 39 63
Asymmetric causality tests with an application 2 10 44 530 10 31 149 1,404
Asymmetric generalized impulse responses with an application in finance 3 15 61 234 14 58 227 776
Asymmetric interaction between government spending and terms of trade volatility: New evidence from hidden cointegration technique 1 1 4 13 1 4 7 18
BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests 0 0 2 3 1 2 4 7
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach 0 1 1 396 1 3 9 1,638
Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? 2 4 9 425 16 29 107 1,740
Capital mobility in Sweden: a time-varying parameter approach 0 1 1 46 0 1 3 158
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? 0 0 1 6 1 1 5 123
Do birds of the same feather flock together?: The case of the Chinese states equity markets 0 0 1 83 1 1 8 878
Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance? 0 0 0 0 0 0 1 83
Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners? 0 0 1 7 0 0 2 162
Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note 2 3 7 12 4 7 52 73
Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000 0 0 4 511 1 4 14 1,503
Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners 0 0 0 34 0 0 0 115
Estimating banks' equity duration: a panel cointegration approach 0 0 0 45 0 0 0 156
Estimating the optimal hedge ratio in the presence of potential unknown structural breaks 0 0 0 6 0 1 1 37
Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries 0 1 2 224 0 3 9 559
Export performance and economic growth causality: An empirical analysis 1 1 5 85 3 4 11 214
Export performance and economic growth nexus in Japan: a bootstrap approach 0 0 1 151 1 6 15 410
FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION 3 6 27 117 6 20 72 303
Fiscal policy in Sweden: effects of EMU criteria convergence 0 0 1 114 1 1 4 366
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models 0 0 0 9 0 1 1 35
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test 0 1 2 19 0 2 11 99
How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis 0 0 2 16 0 0 2 99
How productivity and domestic output are related to exports and foreign output in the case of Sweden 0 0 0 65 0 2 5 285
Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests 0 2 2 2 1 6 6 6
Investigating Causal Relations between Fixed Investment and Economic Growth 0 0 0 0 0 0 2 145
Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis 0 0 0 77 4 4 5 280
Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis 0 0 0 0 0 0 1 141
Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter 0 0 1 112 0 1 4 385
Is the J-Curve Effect Observable for Small North European Economies? 0 1 2 112 1 5 16 388
Is the Swedish Stock Market Becoming more Integrated with those of Germany and France? 0 0 0 9 0 2 3 198
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing 0 1 5 56 0 3 17 166
Is the causal nexus of energy utilization and economic growth asymmetric in the US? 0 0 1 38 4 6 12 111
Is the tourism-led growth hypothesis valid for Turkey? 2 3 13 470 4 11 60 1,286
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility 0 1 1 54 0 1 1 140
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions 0 1 3 48 2 3 11 227
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 2 6 30 2 14 24 148
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology 0 0 0 0 1 1 8 70
Multivariate tests for autocorrelation in the stable and unstable VAR models 6 21 94 990 25 74 287 2,929
Multivariate-based causality tests of twin deficits in the US 1 2 6 125 2 4 12 368
On the Causality between Exchange Rates and Stock Prices: A Note 0 0 0 0 2 2 3 606
On the causal nexus of remittances and poverty reduction in Bangladesh 2 2 4 36 2 3 9 81
On the interaction between government spending and economic performance in Sweden: an asymmetric approach 0 0 1 19 1 2 3 48
On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments 0 1 3 5 0 2 6 14
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH 2 6 23 511 9 31 132 1,648
Option valuation and hedging in markets with a crunch 0 1 1 3 0 1 5 15
Portfolio selection: An alternative approach 5 12 48 133 17 69 279 790
Pricing strategy, mark-up adjustment and foreign competition in the car industry 0 0 0 2 0 0 0 4
Productivity Performance and Export Performance: A Time-Series Perspective 0 1 8 206 0 4 20 698
Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing 0 1 6 29 2 7 21 88
Stochastic optimal hedge ratio: theory and evidence 0 0 0 15 0 0 2 87
Stock Price and Volume Relation in Emerging Markets 0 1 1 220 0 2 3 623
Testing for the government's intertemporal budget restriction in Brazil during 1823--1889 0 0 0 34 0 0 0 114
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application 4 17 62 2,547 19 53 238 6,999
Tests for cointegration with two unknown regime shifts with an application to financial market integration 3 14 96 1,784 18 58 258 4,074
The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach 1 3 8 8 5 17 24 24
The Fisher effect: a Kalman filter approach to detecting structural change 0 0 1 76 0 2 6 205
The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods 1 2 3 41 3 10 25 109
The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti 0 2 4 15 0 4 11 107
The Risk-Adjusted Interest Rate Parity: Panel Data Evidence 0 0 0 0 0 2 15 603
The causal interaction between financial development and human development in Bangladesh 0 1 5 36 0 1 8 79
The causal nexus of government spending and revenue in Finland: a bootstrap approach 0 0 0 63 0 0 2 255
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations 0 0 1 21 0 1 6 105
The effect of exchange rate changes on trade balances in the short and long run 0 1 21 311 9 30 110 1,097
The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests 0 2 4 12 1 6 13 28
The effect of regime shifts on the long-run relationships for Swedish money demand 0 0 0 48 1 1 2 153
The response of industry employment to exchange rate shocks: evidence from panel cointegration 0 1 2 112 0 1 2 282
Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter 0 1 7 37 0 4 44 386
Time-series evidence for Balassa's export-led growth hypothesis 0 0 1 41 0 0 2 99
Trade openness and economic development in the UAE: an asymmetric approach 0 1 10 21 1 4 23 50
US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11 0 0 0 8 0 0 1 102
Total Journal Articles 41 157 683 13,366 214 697 2,702 43,369


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 18 62 221 1,122 29 106 382 1,966
ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components 3 7 31 305 7 15 61 578
ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums 0 0 14 42 0 8 59 139
CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks 6 29 144 1,015 24 75 295 1,894
ContagT: GAUSS module to implement a pairwise bootstrap test for contagion 1 3 9 189 1 7 26 520
HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order 6 33 93 606 8 48 169 1,121
HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments 1 2 26 340 1 6 47 713
HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion 2 3 12 43 6 11 46 140
LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model 2 4 8 113 3 7 30 326
LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria 1 2 10 265 1 4 24 633
MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model 1 3 7 173 2 5 23 468
MV-ARCH: GAUSS module to implement the multivariate ARCH test 2 6 19 250 2 13 49 595
TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts 2 3 13 82 2 4 34 206
Total Software Items 45 157 607 4,545 86 309 1,245 9,299


Statistics updated 2019-10-05