3 citations · 6 across the 14 of their papers we have counts for
15 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…
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios
Abdulnasser Hatemi-J, Alan Mustafa
This paper introduces a software component created in Visual Basic for Applications (VBA) that can be applied for creating an optimal portfolio using two different methods. The fir…
Dynamic Asymmetric Causality Tests with an Application
Abdulnasser Hatemi-J
Testing for causation, defined as the preceding impact of the past values of one variable on the current value of another one when all other pertinent information is accounted for,…