Gotowe bibliografie tematyczne / Correlation; Volatility; Portfolio Diversification

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Gotowa bibliografia na temat „Correlation; Volatility; Portfolio Diversification”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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Artykuły w czasopismach na temat "Correlation; Volatility; Portfolio Diversification"

Gualter, Couto, Pimentel Pedro, and Faria Ricardo. "CORRELATION OF THE PORTUGUESE STOCK MARKET WITH MAJOR GLOBAL CAPITAL MARKETS." International Journal of Research - Granthaalayah 5, no. 7 (2017): 92–109. https://doi.org/10.5281/zenodo.834578.

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In this paper, we will analyse the increase of correlations in the market during periods of crisis, given its importance to the management and optimization of the portfolio, and especially for risk diversification in portfolio management. An evaluation of the level of correlation between the stock markets is important for several reasons. First, it enables to evaluate changes in the patterns of correlation, and thus to make the proper adjustments in portfolios’ investment. Second, policy makers are also interested in these correlations because of its implications for the stability of the finan

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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.

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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversificatio

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Narayan, Seema. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks." Journal of Risk and Financial Management 12, no. 4 (2019): 160. http://dx.doi.org/10.3390/jrfm12040160.

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This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility from 24 developed, emerging, and frontier stock markets. The US stock market is the source of foreign shocks. The

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Suryawati, Baiq Nurul, Laila Wardani, Muttaqillah Muttaqillah, and Iwan Kusmayadi. "OPTIMIZING PORTFOLIO RETURN WITH NAÏVE DIVERSIFICATION-BASED MODELLING." JMM UNRAM - MASTER OF MANAGEMENT JOURNAL 10, no. 1 (2021): 15. http://dx.doi.org/10.29303/jmm.v10i1.646.

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This study aims at applying naïve diversification-based modeling in formation of optimal portfolios and to test the superiority of these portfolios against its sectoral indexes. The population of this study are all companies listed on the Indonesia Stock Exchange which are grouped into 10 sectors, namely: Agriculture; Basic Industry; Consumer; Finance; Infrastructure; Manufacture; Mining; Miscelanous Industry; Property; and Trade. The sample of this company is Top 10 Constituents in each company sector listed in the fact sheet per sector, published by the Indonesia Stock Exchange. The analytic

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Korzhnev, S. V. "Volatility-based adjustments to portfolio risk assessment tools." Vestnik Universiteta 1, no. 12 (2023): 154–61. http://dx.doi.org/10.26425/1816-4277-2022-12-154-161.

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The article is devoted to the analysis of correlation between assets in the Russian stock market. The purpose of the study is to assess the stability of correlation coefficients. The results of the Jennrich test and correlation analysis carried out indicate that correlation coefficients differ significantly for different volatility levels, that is, the coefficients in times of high volatility are significantly higher than those in times of low volatility. Correlations during periods of heightened volatility are key for assessing risks, since it is such volatility that characterizes negative ma

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Sandeep, Yadav. "Risk-Return Diversification Advantages of a Mixed Cryptocurrency Market Portfolio." International Journal of Innovative Research in Engineering & Multidisciplinary Physical Sciences 6, no. 3 (2018): 1–5. https://doi.org/10.5281/zenodo.14059447.

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Cryptocurrencies, despite their strong returns and low correlation with traditional assets, remain underutilized in investment portfolios due to two major concerns: high return volatility and uncertainty regarding the long-term viability of individual cryptocurrencies. In this paper, we propose a comprehensive analysis of the diversification effects offered by a mixed cryptocurrency portfolio, with particular focus on Bitcoin. By constructing and analyzing multiple portfolio configurations, we assess the differences in risk-return profiles when various cryptocurrencies are combined. Our findin

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Saadah, Siti. "Volatility Spillover In Stock And Commodity Futures Market: Empirical Analysis In Indonesia’s Financial Market." Jurnal Manajemen 22, no. 2 (2018): 263. http://dx.doi.org/10.24912/jm.v22i2.363.

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Volatility spillover between stock markets causes insignificancy of diversification. Therefore, other investment alternatives is required to build an optimal portfolio, one of them being commodity futures. The low correlation between commodity futures and stocks indicates the advantage of diversification in investment portfolio containing both assets. In order to prove the advantage of diversification, author tested the existence of volatility spillover during September 16, 2010 - September 30, 2015. Estimation result using GARCH method indicates the presence of significant volatility spillove

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SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.

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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across dif

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Zhao, Xueyao. "Correlation and Impact of Bitcoin with Other Cryptocurrency Portfolios." Advances in Economics, Management and Political Sciences 11, no. 1 (2023): 123–28. http://dx.doi.org/10.54254/2754-1169/11/20230524.

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Bitcoin is a peer-to-peer form of digital currency proposed in 2008. Unlike other currencies, Bitcoin does not rely on a specific institution to issue it, it is based on a specific algorithm that generates it through a large number of calculations. In some countries, government agencies, central banks and academia regard Bitcoin is a virtual currency rather than a currency. This is because of Bitcoins high volatility, which does not have the two basic functions of the unit of account and the store of value that are unique to the currency. In recent years, Bitcoin has seen increasing media cove

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Shlonchak, Vasyl. "Diversification of the banks investment portfolio: an adaptive management model in the conditions of financial volatility." Galician economic journal 94, no. 3 (2025): 91–101. https://doi.org/10.33108/galicianvisnyk_tntu2025.03.091.

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In the context of increased financial volatility and macroeconomic instability, enhancing the efficiency of banks’ investment activity has become a strategic imperative. One of the most relevant approaches is the structural optimization of investment portfolios through asset diversification. However, existing models often fail to fully consider the correlation between portfolio components, their volatility, and market sensitivity, which significantly limits the accuracy of investment decision-making. This research aims to develop a scientifically grounded approach to improving the efficiency o

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Rozprawy doktorskie na temat "Correlation; Volatility; Portfolio Diversification"

Franch, Mattia, and Bahaa Shehabi. "The potential benefits of investing in commodities : A study of the properties related to the investment in several commodities and adding them to stock portfolios." Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-127354.

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Investing in commodities may have important benefits for investors but only in the last few decades have they started to think more about this possibility. Furthermore, large investors are more inclined to change their own personal view. Therefore, understanding the benefits that commodities could give to an investment portfolio might alleviate investors’ concerns. Several previous studies, as Belousova and Dorfleitner (2012) suggest, that the commodities with higher benefits are precious metals and gold, in particular. The purpose of our work is to understand which possible benefits are for e

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Bui, Ba Tung, and Javier Jo. "Sustainable Bonds and Beyond: A Sustainable Alternative for Portfolio Diversification : An empirical study of sustainable bonds and existing asset classes from a volatility and correlation perspective in Sweden." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172185.

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Increasing awareness of sustainable issues is just one of the ways how modern society has evolved. Due to the growing challenges faced by climate change and societal issues, our world has grown to be more innovative in the fight and support towards initiatives that will contribute to the long-term of the world we live in. Capitalists have exploited the resources, and as such, it is the economy where we can make the most significant changes to reverse the negative consequences. Responsible investment has incorporated various financial tools oriented towards the support of environmental, societa

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Esteves, Carlos Manuel Geraldes. "Portfolio diversification using Bitcoin." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21053.

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Mestrado em Finanças Normalmente, as Bitcoins são associadas a um lado mais controverso e ilegal - Bitcoin como meio de chantagem a pessoas ou empresas. Esquemas de pirâmide (Ponzi) ou ainda meio de pagamento no mercado negro, geralmente na dark-web. Mas, existem investidores que estão a utilizar Bitcoin como um ativo nos seus investimentos, seja numa estratégia mais passiva seja mais ativamente, com compra e venda consoante as flutuações cambiais. O aspeto negativo deste ativo financeiro é a sua volatilidade Apesar de, atualmente, Bitcoins e outras cripto moedas se encontrarem numa zona

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Vieira, Joana Colarinha. "International portfolio diversification: evidence from emerging markets." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/14114.

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Gorny, Moritz Fabio. "Time-varying benefits of cross-asset and cross-region portfolio diversification." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19010.

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Sawwan, Charbel, and Nathan Lercier. "International Diversification for Swedish investors : A comparative study of different national and international scale portfolios." Thesis, Umeå universitet, Företagsekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-160407.

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This thesis aims to investigate the benefits of international diversification from a Swedish perspective. It presents a comparative study of the performance of different portfolios based on their degree of international diversification with a focus on Swedish investors frame of reference. Such a study is motivated by the contradictory literature about portfolio diversification and information portfolio theory that advocate for a more concentrated portfolio. It focuses solely on comparing portfolios constituted with major indices of a representative sample including countries from different par

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Stark, Caroline, and Emelie Nordell. "Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34476.

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There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem fo

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Yousuf, Abdullah, and Fredrik Nilsson. "Impact of Exchange Rates on Swedish Stock Performances. : Empirical study on USD and EUR exchange rates on the Swedish stock market." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-75782.

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This paper examines the impact of USD and EUR exchange rates on the Swedish stock market performance for different economic sectors over a time period of ten years (2003-2013). The growing integration between foreign exchange markets and stock markets with the wide spread use of hedging and diversification policies made it necessary to test the degree of impact these two distinct markets share between each other. Number of studies, were done studying the relationship between the exchange rates and stock performance combining and comparing different economies and currencies. Nevertheless, resea

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Pedrono, Justine. "Banking stability and currency diversification." Thesis, Aix-Marseille, 2017. http://www.theses.fr/2017AIXM0283/document.

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La crise financière de 2008 a mis en exergue l'instabilité financière des banques en identifiant le caractère procyclique du levier bancaire, la sous-capitalisation des banques, et la nécessité de définir une nouvelle régulation bancaire. La dimension internationale des activités bancaires et l'identification des banques globales complètent ce constat. Les banques européennes, par leurs expositions aux marchés financiers américains, sont diversifiées internationalement: une part de leurs actifs et de leurs dettes est libellée en dollar américain. Le taux de change flottant entre le dollar et l

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Katzler, Sigrid. "Improving strategic decisions for real estate investors : Perspectives on allocation and management." Doctoral thesis, KTH, Fastigheter och byggande, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-207004.

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Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. Optimal allocations to real estate found in literature are generally lower than actual allocations by investors and portfolio managers indicating there are aspects of the application of M

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Książki na temat "Correlation; Volatility; Portfolio Diversification"

Satchell, Stephen, and Jamie Alcock. Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley & Sons, Limited, John, 2018.

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Satchell, Stephen, and Jamie Alcock. Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley & Sons, Incorporated, John, 2018.

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Satchell, Stephen, and Jamie Alcock. Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley & Sons, Incorporated, John, 2018.

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Satchell, Stephen, and Jamie Alcock. Assymetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns. Wiley & Sons, Limited, John, 2018.

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Billio, Monica, Mila Getmansky Sherman, and Loriana Pelizzon. Financial Crises and Evaporating Diversification Benefits of Hedge Funds. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780190607371.003.0024.

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Diversification of risk is a potential benefit of investing in hedge funds. Using CSFB/Tremont hedge fund indices, this chapter shows that hedge fund strategies have different returns, volatility, and exposures to various systematic risk factors during tranquil times. This relation has led to the growth of the hedge industry and in particular funds of hedge funds, which provide diversification benefits by investing across different hedge fund styles. However, during financial crises, different hedge fund strategies are exposed to similar systematic risk factors. Most of the strategies become e

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Preece, Dianna. Return Characteristics of Commodities. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780190656010.003.0016.

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The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due t

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Auleta, Oreste, and Filippo Stefanini. Directional Equity Strategies of Hedge Funds. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780190607371.003.0011.

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This chapter discusses three directional hedge fund strategies: long/short equity, short only, and equity market neutral. These strategies rely on different types of positions that are enumerated and explained using trade examples. A key feature of funds implementing directional strategies is the market exposure best described by gross exposure and beta-adjusted net exposure. In long/short equity funds, money managers often use yield enhancement strategies based on option overlays. A review of different management styles explicates the heterogeneity of hedge funds and liquid alternatives that

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Części książek na temat "Correlation; Volatility; Portfolio Diversification"

Joseph, Tonuchi E., Atif Jahanger, Joshua Chukwuma Onwe, and Daniel Balsalobre-Lorente. "The Implication of Cryptocurrency Volatility on Five Largest African Financial System Stability." In Blockchain, Crypto Assets, and Financial Innovation. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-6839-7_7.

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Abstract This study examined the interconnectedness and volatility correlation between cryptocurrency and traditional financial markets in the five largest African countries, addressing concerns about potential spillover effects, especially the high volatility and lack of regulation in the cryptocurrency market. The study employed both diagonal BEKK-GARCH and DCC-GARCH to analyze the existence of spillover effects and correlation between both markets. A daily time series dataset from January 1, 2017, to December 31, 2021, was employed to analyze the contagion effect. Our findings reveal a sign

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Yousaf, Imran, and Shoaib Ali. "Discovering Interlinkages Between Major Cryptocurrencies Using High-Frequency Data: New Evidence from COVID-19 Pandemic." In Blockchain, Crypto Assets, and Financial Innovation. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-6839-7_13.

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Abstract Through the application of the VAR-AGARCH model to intra-day data for three cryptocurrencies (Bitcoin, Ethereum, and Litecoin), this study examines the return and volatility spillover between these cryptocurrencies during the pre-COVID-19 period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both sample periods. We find that the return spillovers vary across the two periods for the Bitcoin-Ethereum, Bitcoin-Litecoin, and Ethereum-Litecoin pairs. However, the volatility transmissions are found to be different during the two

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Chen, James Ming. "Sinking, Fast and Slow: Relative Volatility Versus Correlation Tightening." In Postmodern Portfolio Theory. Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-54464-3_7.

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Bandyopadhyay, Arindam. "Correlation Theorem and Portfolio Management Techniques." In Basic Statistics for Risk Management in Banks and Financial Institutions. Oxford University Press, 2022. http://dx.doi.org/10.1093/oso/9780192849014.003.0006.

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Covariance and correlation play important roles in portfolio management of risk. In market risk, it is used as a measure of the dependence between different financial instruments in the calculation of value at risk (VaR). Correlation is concerned with the measurement of strength of association between two variables. It is a crucial parameter in modern portfolio management theory. It is widely used to measure portfolio return volatility as well as computation of portfolio volatility and risk-adjusted return. This chapter explains in detail how correlation contributes significantly in the assess

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Jaffar Sadiq Abdullah, Muhammad, and Norizarina Ishak. "An Optimal Control Approach to Portfolio Diversification on Large Cap Stocks Traded in Tokyo Stock Exchange." In Control Theory in Engineering [Working Title]. IntechOpen, 2022. http://dx.doi.org/10.5772/intechopen.100613.

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In this chapter, Markowitz mean-variance approach is proposed for examining the best portfolio diversification strategy within three subperiods which are during the global financial crisis (GFC), post-global financial crisis, and during the non-crisis period. In our approach, we used 10 securities from five different industries to represent a risk-mitigation parameter. In this way, the naive diversification strategy is used to serve as a comparison for the approach used. During the computation process, the correlation matrices revealed that the portfolio risk is not well diversified during non

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Śliwiński, Paweł. "International portfolio diversification during the Covid-19 onset: A study of correlations among CEE post-transition and developed countries." In Towards the „new normal” after COVID-19 – a post-transition economy perspective. Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu, 2021. http://dx.doi.org/10.18559/978-83-8211-061-6/i6.

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Purpose: The chapter examines the hypothesis that during the Covid-19 onset, the higher positive correlations between stock exchange indices persist, preventing the use of international diversification to reduce the volatility of global portfolio. Design/methodology/approach: The study focuses on CEE post-transition countries and their main stock exchange indices’ correlations with developed markets stock exchange indices. The data cover the period starting from January 8, 2004, until the end of October, 2020. The bivariate relationship between stock indices and VIX was measured by the Pearson

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Varoglu, Nesibe, and Aysel Varoglu. "Exploring Dynamic Volatility Transmission in Canadian and Global Financial Markets." In Advances in Finance, Accounting, and Economics. IGI Global, 2025. https://doi.org/10.4018/979-8-3693-8186-1.ch015.

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This paper investigates the volatility transmission between the S&P/TSX and key global financial markets, including the S&P500, Gold, VIX, WTI, and Brent Crude Oil (BO), using the Dynamic Correlation-Multivariate Stochastic Volatility (DC-MSV) model. By analyzing daily market index returns, the study uncovers dynamic volatility interactions and spillovers, providing valuable insights into how shocks in one market can affect others. The findings reveal significant bidirectional volatility transmission between the S&P/TSX and S&P500, with notable unidirectional spillovers to Gold

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Yesuf, Abdurahman Jemal. "Emerging Market Sovereign Debts as a Means for Profit Maximization and Portfolio Diversification." In Advances in Religious and Cultural Studies. IGI Global, 2016. http://dx.doi.org/10.4018/978-1-5225-0148-0.ch024.

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The case for emerging markets debts (EMD) has convinced many investors. This is an asset class that has been experiencing an increase in inflows and is getting international investors attention. During the past two decades, cross-border inflows into ‘emerging market' debt instruments have rose rapidly. Over twelve trillion dollar is currently invested in ‘Emerging Markets' debt. This asset classes has delivered strong returns over time and deserves consideration. Therefore, this paper is intended to show how and why Emerging Market debts are vital instrument in portfolio diversification by usi

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"Modeling and Estimating Long-Term Volatility of Stock Markets in Romania, Poland, Greece, and USA." In Emerging Research on Monetary Policy, Banking, and Financial Markets. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-9269-3.ch009.

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The main purpose of this chapter is to examine long-term volatility of stock markets in Romania, Poland, Greece, and USA using asymmetric GARCH class models. The selected financial databases include daily log-returns of sample stock market major indices during the period from January 2000 until January 2014. The empirical results provide an additional contribution to existing literature regarding volatility estimations and international portfolio investment strategies. Moreover, this book chapter provides a useful empirical approach for a better understanding of volatility behavioral patterns,

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Veliu, Denis. "The Risk Parity Approach Applied to Agricultural Commodities." In Advances in Business Strategy and Competitive Advantage. IGI Global, 2017. http://dx.doi.org/10.4018/978-1-5225-2107-5.ch013.

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The recent years were hard for commodities, with most suffering of high losses. The uncertainty of the financial markets after the 2008 crisis has pushed in the interest of finding new way of diversification. With the Risk Parity or Equally Weighted Risk Contribution strategy, Maillard, Roncalli, and Teiletche (2008) suggested a method that maximize the diversification. These authors have applied this strategy to the volatility (standard deviation). In this chapter, the author describes how to apply Risk Parity to the Conditional Value at Risk using historical data estimation. Passing to CVaR,

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Streszczenia konferencji na temat "Correlation; Volatility; Portfolio Diversification"

Sharma, Sudhi, Neeraj Aswal, Vaibhav Aggarwal, Reepu, and Vivek Tiwari. "Time-Varying Volatility Among Bahrain Stock Exchange with Disruptive Technology and Sustainable Asset Class- Insights for Portfolio Diversification." In 2024 ASU International Conference in Emerging Technologies for Sustainability and Intelligent Systems (ICETSIS). IEEE, 2024. http://dx.doi.org/10.1109/icetsis61505.2024.10459459.

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Dias, Rui, and Hortense Santos. "THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.39.

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This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-

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Febrian, F. "Managing Oil and Gas Project Value By Prime (Pertamina Investment Management Engine)." In Digital Technical Conference. Indonesian Petroleum Association, 2020. http://dx.doi.org/10.29118/ipa20-bc-88.

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Oil and gas companies are facing an enormous challenge to create value from mature fields. Moreover, price volatility presents a massive impact on project uncertainties. Therefore, robust portfolio management is essential for oil and gas companies to manage critical challenges and uncertainties. The objective of this study is to develop a robust portfolio model to assist top management in oil and gas companies to drive investment strategy. PRIME (Pertamina Investment Management Engine) has been built to visualize advanced oil and gas project portfolio management. The engine observes the relati

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Atsi, Eugene Ray. "OIL PRICES, EXCHANGE RATE VOLATILITY AND FDI INFLOWS ON THE ECONOMIC GROWTH OF GHANA: WAVELET TECHNIQUE AND ARDL APPROACH." In MBP 2025 Tokyo International Conference on Management & Business Practices, 21-22 January. Global Research & Development Services, 2025. https://doi.org/10.20319/icssh.2025.1338.

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Ghana, like many other developing economies, is intricately connected to global economic trends and fluctuations. This paper investigates the influence of oil prices, exchange rate volatility and FDI inflows on Ghana’s economic growth. Moreover, it determines the level of interdependencies and the lead/lag connectedness among the variables. The study utilizes time series data from 1995 to 2022 and applies the Autoregressive Distributed Lag (ARDL) model as well as Wavelet Multiple techniques (Wavelet Multiple Correlation (WMC) and Wavelet Multiple Cross-Correlation (WMCC)). Based on the ARDL mo

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Dias, Rui, Nicole Horta, Catarina Revez, Paulo Alexandre, and Paula Heliodoro. "Risk Diversification in Central and Eastern European Capital Markets: Evidence from Russia’s Invasion of Ukraine." In 8th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eraz.s.p.2022.1.

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Following the Revolution of Dignity in Ukraine in 2014, Russia annexed Crimea, while separatist forces supported by the Russian government seized part of the Donbas region in south-eastern Ukraine. Since the beginning of 2021, a build-up of Russian military presence has occurred along the Russia-Ukraine border. The United States and other countries have accused Russia of planning an invasion of Ukraine. On February 24th, Putin announced a “special military operation,” supposedly to “demilitarize” and “denazify” Ukraine. In light of these events, the global economy and consequently the fina

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Alexandre, Paulo, Rui Dias, Nicole Horta, Paula Heliodoro, and Mariana Chambino. "Testing the Causal Relationship between Central and Eastern European Capital Markets: Evidence in Periods of Uncertainty in the Global Economy." In Sixth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/itema.s.p.2022.31.

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The purpose of this study is to examine the movements of capital markets in Austria (ATX), Serbia (BELEX 15), Hungary (BUX), Croatia (CROBEX), Russia (IMOEX), the Czech Republic (PRAGUE PX), Slovenia (SBI TOP), and Poland (WIG) from September 18th, 2017 to September 15th, 2022. To obtain more robust results, we divide the sample into two sub-periods: the Quiet period, from September 18th, 2017, to December 31st, 2019; and the Stress Period, from January 1st, 2020, to September 15th, 2022, marked by the global pandemic (COVID-19), the oil price war in 2020, and the Russian invasion in 2022. Th

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Horta, Nicole, Rui Dias, and Mariana Chambino. "Efficiency and Long-Term Correlation in Central and Eastern European Stock Indexes: An Approach in the Context of Extreme Events in 2020 and 2022." In Eighth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/limen.2022.23.

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The analysis of the behaviour of capital markets remains a very interesting issue as it can give investors information about where to invest their money. Given the importance of measuring autocorrelation in financial markets, this paper aims to analyse the predictability of capital markets, namely Austria (Austrian Traded), Budapest (BUX), Bulgaria (SE SOFIX), Croatia (CROBEX), Russia (MOEX), Czech Republic (PragueSE PX), Romania (BET), Slovakia (SAX 16), and Slovenia (SBI TOP), for the period from January 1st, 2020, to May 6th, 2022. To conduct this analysis and obtain more robust results

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Manuel, Maria, Paula Heliodoro, Rui Dias, and Paulo Alexandre. "THE IMPACT OF COVID-19 ON THE SECURITIES AND EQUITY MARKETS OF PORTUGAL AND EDP: AN ECONOPHYSICS APPROACH." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.13.

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The Efficient Market Hypothesis (EMH), is one of the most important hypotheses in the financial economy, which argues that yields have no memory (correlation), which implies that agents cannot have abnormal returns in the financial markets, base arbitration operations. This essay intends to investigate the efficiency, in its weak form, in the stock and bond markets of Portugal and EDP, in the period from December 31, 2019, to August 10, 2020. With the purpose of achieving such an analysis, whether: (i) with the evolution of the global pandemic (Covid-19) the Portuguese and EDP stock and bond m

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Heliodoro, Paula, Rui Dias, Paulo Alexandre, and Maria Manuel. "THE IMPACT OF THE COVID-19 ON THE FINANCIAL MARKETS: EVIDENCE FROM G7." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.2020.103.

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This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid-19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the

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