4 citations
5 papers
Copula-based local dependence between energy, agriculture and metal commodity markets
Claudiu Albulescu, Aviral Tiwari, Qiang Ji
This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmetries…
The interaction between trade and FDI: the CEE countries experience
Claudiu Tiberiu Albulescu, Daniel Goyeau
Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently…
The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model
Dominique Pepin
By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor can…
Stock prices, inflation and inflation uncertainty in the U.S.: Testing the long-run relationship considering Dow Jones sector indexes
Claudiu Albulescu, Christian Aubin, Daniel Goyeau
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpo…
Intertemporal Substitutability, Risk Aversion and Asset Prices
Dominique Pepin
Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor…