The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov chain. However, its performance can deteriorate sharply with the degree of irregularity of the underlyi...

Tendo em vista a flutuação de preço no mercado e o longo período maturação do investimento gado corte, é interesse agente racional tomar decisões que mitiguem eventuais perdas associadas eventos não previstos. Dessa forma, presente estudo busca analisar efetividade da estratégia hedge contratos futuros boi gordo, negociados na B3, como mecanismo financeiro proteção ao risco para os produtores c...

We consider multivariate stationary processes ( X t ) satisfying a stochastic recurrence equation of the form = ???? ? 1 + Q , where are i.i.d. random vectors and Diag b c M … d diagonal matrices (Mt) variables. obtain full characterization vector scaling regular variation properties ), proving that some coordinates Xt, i j asymptotically independent even though all rely on same input (Mt). pro...

Using the data from GCC countries, this paper analyses co-movement between oil price, EU carbon allowance prices, global clean energy index and equity three counties, namely, Kuwait, Saudi Arabia United Arab Emirates. Almost no previous research has investigated dynamic interrelations in conventional markets, like those of against dramatic growth production new emissions trading schemes. Employ...