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Quality & Quantity - The purpose of this paper is to provide a nonparametric kernel method to estimate nonlinear structural equation models involving the functional effects between the latent...  相似文献   
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This paper investigates the dynamics of volatility in the stock market using competing univariate GARCH specifications. Moreover, it provides a study of the pairwise correlation pattern of stock returns for a wide range of Saudi Arabian insurance business lines by using a dynamic DCC-GARCH model. Our results show that volatility responds asymmetrically to shocks with a persistence of variance in the stock return data, supporting the presence of irrational behaviour as well as the effectiveness of a cross-market diversification strategy. Finally, we reach a point at which, between every two-business line stock returns, there is a dynamic conditional correlation.  相似文献   
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This article investigates the dependence structure related to four French nominal and index-linked bonds with various maturities and reference indices. To achieve this aim, we estimate various copulas to select the appropriate one for our data. We also compare results obtained using the copula method with multivariate dynamic conditional correlation GARCH (DCC-GARCH) modelling. The major issue in this study is that the best copulas used to model the dependence among bond returns are the Plackett and Student models. We also find a dynamic correlation between bond returns. In particular, the relationship between nominal and indexed bonds is characterized by an asymmetric dependence. Moreover, the results obtained by the copula approach are confirmed by those obtained by multivariate GARCH modelling. Our empirical study provides a useful method that may be employed by decision-makers to quantitatively introduce dependence and spillover effects in their bond issuance policy. For investors, we propose optimal investment combinations in bonds with respect to their investment horizons.  相似文献   
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【香港《亚洲时报》4月8日】最近宏观经济指标确实很糟糕,不禁令人对全球化过程中的世界经济趋势感到忧心。自去年8月以来,美元兑欧元汇价已从1.37跌到了1.55;原油价格则由每桶65美元升到了110美元,导致燃料、石化产品及相关服务的涨价;  相似文献   
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Shariah money is gold and silver, supplied by the market on profit criterion. Everywhere, government inconvertible paper money arose from bankruptcy. A government with balanced budgets would never need it. Imposed by force, inconvertible paper is a taxation mean, highly inflationary, and causes impoverishment. Unjust and bankrupt governments will continue to force this despotic money. Islamic Monetary Economics refutes the idea of money as a policy tool. Fully convertible paper is Shariah compliant. Shariah requires a just government to balance its budgets and restore fully gold and silver as lawful money.  相似文献   
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