4 papers
Efficient Asymmetric Causality Tests
Abdulnasser Hatemi-J
Asymmetric causality tests are increasingly gaining popularity in different scientific fields. This approach corresponds better to reality since logical reasons behind asymmetric b…
Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin
Abdulnasser Hatemi-J
Reducing financial risk is of paramount importance to investors, financial institutions, and corporations. Since the pioneering contribution of Johnson (1960), the optimal hedge ra…
An Asymmetric Capital Asset Pricing Model
Abdulnasser Hatemi-J
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The c…
On the Asymmetric Volatility Connectedness
Abdulnasser Hatemi-J
Connectedness measures the degree at which a time-series variable spills over volatility to other variables compared to the rate that it is receiving. The idea is based on the perc…