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 0 1 310 1 3 35 787
A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts 0 0 1 74 1 1 18 217
A New Asymmetric GARCH Model: Testing, Estimation and Application 0 0 0 117 1 2 12 210
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios 0 0 2 18 0 1 12 31
An Asymmetric Capital Asset Pricing Model 0 0 2 9 0 0 18 47
Are Real Estate Markets Integrated with the World Market? 0 0 0 49 0 0 4 144
Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries? 0 0 0 23 0 0 13 327
Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers 0 0 0 36 0 1 15 231
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 0 0 4 206 4 6 46 522
Asymmetric generalized impulse responses and variance decompositions with an application 0 0 0 256 0 0 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 1 1 8 213
Bear Markets and Recessions versus Bull Markets and Expansions 0 0 0 21 2 3 12 78
Computation of second order price sensitivities in depressed markets 0 0 0 33 0 0 7 74
Dynamic Asymmetric Causality Tests with an Application 0 1 3 78 2 3 15 140
Efficient Asymmetric Causality Tests 1 2 6 41 3 6 31 89
Estimating Optimal Hedge Ratio with Unknown Structural Breaks 0 0 0 75 1 1 13 189
Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology 0 0 0 0 0 1 7 420
Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return 0 0 0 44 1 1 10 125
Fiscal Policy in Sweden: Effects of EMU Criteria Convergence 0 0 0 69 0 0 7 2,065
Hidden panel cointegration 0 0 0 139 0 0 7 276
Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests 0 0 0 26 1 2 10 169
Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing 0 0 0 65 1 1 19 124
Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis 0 0 0 53 2 3 23 126
On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies 0 0 1 16 1 1 16 36
On option pricing in illiquid markets with jumps 0 0 0 15 0 0 7 63
On option pricing in illiquid markets with random jumps 0 0 0 22 1 2 10 91
On the Asymmetric Volatility Connectedness 0 0 1 24 3 4 17 52
On the calculation of price sensitivities with jump-diffusion structure 0 0 0 25 0 0 3 119
On the pricing and hedging of options for highly volatile periods 0 0 0 29 0 0 7 76
On the pricing and hedging of options for highly volatile periods 0 0 0 15 0 1 6 46
Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing 0 0 0 0 1 1 14 270
Stochastic optimal hedge ratio: Theory and evidence 0 0 0 76 0 1 8 264
Testing for Financial Market Integration of the Chinese Market with the US Market 0 0 0 66 0 1 11 212
Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin 0 0 0 6 3 4 28 53
The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 0 0 37 0 0 28 180
The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners 0 0 0 2 0 0 8 374
The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation 0 0 3 25 1 2 30 101
The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods 0 0 0 69 1 1 7 331
The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing 1 1 7 445 2 2 37 1,315
Valuation of Currency Options in Markets with a Crunch 0 0 0 17 0 1 7 70
Total Working Papers 2 4 32 2,740 34 57 603 10,850

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 0 7 97 0 2 31 332
A bootstrap-corrected causality test: another look at the money–income relationship 0 0 0 129 0 2 12 322
A new method to choose optimal lag order in stable and unstable VAR models 0 0 6 223 1 2 20 523
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods 0 0 0 64 0 3 12 176
A re-examination of the Fisher effect using an alternative approach 0 0 0 27 2 2 9 92
A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks 0 0 0 30 2 3 21 148
A test for multivariate ARCH effects 0 0 2 823 3 3 22 3,029
An Asymmetric Capital Asset Pricing Model 0 0 6 6 0 2 32 32
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 0 0 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 0 0 9 194
An empirical analysis of the informational efficiency of Australian equity markets 0 0 0 32 0 1 3 133
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation 0 0 0 90 0 3 13 338
An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method 0 0 0 58 0 0 10 305
An extension of the asymmetric causality tests for dealing with deterministic trend components 0 0 1 31 3 4 26 108
Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia 0 3 4 67 1 5 36 171
Asymmetric causality between military expenditures and economic growth in top six defense spenders 0 0 2 48 0 1 18 159
Asymmetric causality tests with an application 1 2 12 803 3 9 54 2,206
Asymmetric generalized impulse responses with an application in finance 0 2 5 501 2 5 51 1,702
Asymmetric interaction between government spending and terms of trade volatility 0 0 1 22 0 0 9 54
BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests 0 0 0 5 1 2 5 23
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach 0 1 8 419 2 11 44 1,737
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 0 470 4 5 32 2,163
Capital mobility in Sweden: a time-varying parameter approach 0 0 0 49 0 0 3 185
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 3 10 143
Do birds of the same feather flock together?: The case of the Chinese states equity markets 0 0 0 85 0 3 6 908
Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance? 0 0 0 0 0 0 5 105
Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners? 0 0 0 7 0 0 5 187
Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note 0 0 0 16 0 1 12 110
Empirical Analysis of Business Growth Factors Using Swedish Data 0 0 2 3 0 1 13 23
Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000 0 0 0 522 0 0 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 2 10 131
Estimating banks' equity duration: a panel cointegration approach 0 0 0 46 0 0 12 179
Estimating the optimal hedge ratio in the presence of potential unknown structural breaks 0 0 0 7 0 1 2 55
Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return 0 0 0 4 2 3 23 54
Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries 0 0 0 230 1 1 7 593
Export performance and economic growth causality: An empirical analysis 0 0 0 101 1 4 12 284
Export performance and economic growth nexus in Japan: a bootstrap approach 0 0 4 166 0 1 20 476
FOREIGN AID AND ECONOMIC GROWTH: NEW EVIDENCE FROM PANEL COINTEGRATION 0 0 0 149 1 1 11 453
Fiscal policy in Sweden: effects of EMU criteria convergence 0 0 1 116 0 2 9 400
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models 0 0 0 13 1 1 18 65
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test 0 0 0 23 0 0 9 181
How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis 0 0 0 19 0 0 15 142
How productivity and domestic output are related to exports and foreign output in the case of Sweden 0 0 0 68 0 1 9 313
Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests 0 0 0 22 0 1 7 86
Investigating Causal Relations between Fixed Investment and Economic Growth 0 0 0 0 0 2 5 172
Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis 0 0 0 77 0 1 14 307
Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis 0 0 0 0 1 1 5 171
Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter 0 0 0 117 0 0 8 416
Is the J-Curve Effect Observable for Small North European Economies? 0 0 0 121 0 0 11 445
Is the Swedish Stock Market Becoming more Integrated with those of Germany and France? 0 0 0 15 2 3 12 234
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing 0 0 0 66 1 2 35 234
Is the causal nexus of energy utilization and economic growth asymmetric in the US? 0 0 1 45 1 1 13 190
Is the tourism-led growth hypothesis valid for Turkey? 0 0 4 524 1 7 48 1,492
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility 0 0 0 55 1 2 7 154
Model selection in time series analysis: using information criteria as an alternative to hypothesis testing 0 0 1 6 1 1 29 50
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions 0 0 0 51 0 1 8 257
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 1 46 0 0 8 197
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology 0 0 0 0 1 1 10 97
Multivariate tests for autocorrelation in the stable and unstable VAR models 0 1 18 1,371 1 6 56 4,082
Multivariate-based causality tests of twin deficits in the US 0 0 0 128 1 2 8 394
Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis 0 0 1 23 0 19 68 161
On a regime switching illiquid high volatile prediction model for cryptocurrencies 0 0 0 1 0 1 11 18
On the Causality between Exchange Rates and Stock Prices: A Note 0 0 0 0 0 1 11 641
On the causal nexus of remittances and poverty reduction in Bangladesh 0 0 1 60 1 2 17 168
On the interaction between government spending and economic performance in Sweden: an asymmetric approach 0 0 0 22 1 1 8 70
On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments 0 1 2 13 1 4 16 51
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH 0 0 5 622 1 4 29 2,153
Option valuation and hedging in markets with a crunch 0 0 0 12 0 1 7 54
Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model 0 1 4 19 1 3 22 75
Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods 0 0 3 19 0 2 33 69
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 0 1 10 29
Portfolio selection: An alternative approach 1 2 6 262 3 8 42 1,525
Pricing strategy, mark-up adjustment and foreign competition in the car industry 0 0 0 4 0 1 6 25
Productivity Performance and Export Performance: A Time-Series Perspective 0 0 1 224 0 0 12 842
Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing 0 0 0 44 1 1 14 155
Stochastic optimal hedge ratio: theory and evidence 0 0 0 16 1 1 9 112
Stock Price and Volume Relation in Emerging Markets 0 0 0 224 0 1 7 649
Testing for Financial Market Integration of the UAE Market with the Global Market 0 0 0 11 0 0 8 82
Testing for the Tourism Led Economic Growth Hypothesis in Sweden with Structural Breaks 0 0 0 22 0 2 14 65
Testing for the government's intertemporal budget restriction in Brazil during 1823--1889 0 0 0 34 1 1 10 134
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application 0 1 9 2,809 5 13 61 8,039
Tests for cointegration with two unknown regime shifts with an application to financial market integration 1 2 13 1,980 6 10 47 4,714
The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction 0 0 0 2 1 2 14 25
The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach 0 0 1 50 1 1 13 186
The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation 0 2 8 18 0 3 56 99
The Fisher effect: a Kalman filter approach to detecting structural change 0 0 0 81 2 2 15 243
The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods 0 0 0 67 0 1 26 263
The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti 0 0 0 20 0 0 12 163
The Risk-Adjusted Interest Rate Parity: Panel Data Evidence 0 0 0 0 0 1 12 680
The causal interaction between financial development and human development in Bangladesh 0 0 0 58 0 0 7 152
The causal nexus of government spending and revenue in Finland: a bootstrap approach 0 0 0 64 0 0 8 276
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations 0 0 0 24 1 1 8 132
The effect of exchange rate changes on trade balances in the short and long run 0 0 3 376 1 1 24 1,409
The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests 0 0 0 27 2 3 14 105
The effect of regime shifts on the long-run relationships for Swedish money demand 0 0 0 59 1 1 8 192
The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach 0 0 0 4 0 0 9 25
The response of industry employment to exchange rate shocks: evidence from panel cointegration 0 0 1 119 2 2 20 324
Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter 0 0 0 51 0 0 12 464
Time-series evidence for Balassa's export-led growth hypothesis 0 0 0 42 0 0 5 119
Trade openness and economic development in the UAE: an asymmetric approach 0 0 0 68 0 0 14 178
US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11 0 0 0 10 0 0 8 120
Total Journal Articles 3 18 145 15,870 77 216 1,729 54,685
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 0 1 10 30
Total Chapters 0 0 0 8 0 1 10 30

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 1 4 33 2,005 3 8 72 3,671
ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components 0 0 8 439 2 4 29 897
ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums 0 0 1 68 0 0 13 271
CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks 0 1 10 1,496 2 3 51 3,112
ContagT: GAUSS module to implement a pairwise bootstrap test for contagion 1 1 1 215 2 4 14 616
DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests 0 1 12 243 0 4 30 484
GMDLBCT: GAUSS module for Implementing Dynamic Leverage Bootstrap Contagion Tests 0 0 6 9 2 3 26 39
HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order 0 2 19 932 0 4 41 1,816
HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments 0 0 4 401 0 0 14 850
HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion 0 0 1 60 0 0 13 243
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 0 122 1 2 8 400
LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria 0 0 2 280 1 1 14 713
MODELSEL: GAUSS module for Model Selection in Time Series Analysis 0 0 0 29 2 3 18 118
MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model 0 0 2 183 0 1 15 535
MV-ARCH: GAUSS module to implement the multivariate ARCH test 0 0 0 310 0 1 11 764
OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods 0 0 0 22 1 1 17 162
PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return 0 0 1 34 0 1 19 202
PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts 0 1 13 89 0 1 52 297
PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio 0 0 1 20 0 2 14 71
PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities 0 0 0 28 2 2 8 162
PyCPTAM: Python Module for Constructing Portfolios via Two Alternative Methods 0 0 1 33 0 0 19 130
PyTIVIPNC: Python Module for Transforming an Integrated Variable with and without Deterministic Trend Parts into Positive and Negative Components 0 1 1 1 1 2 2 2
TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts 0 0 2 124 0 2 15 369
Total Software Items 2 11 118 7,143 19 49 515 15,924

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