Browsing by Author Nguyen, Duc Khuong

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  • Assessing the effects of unconventional monetary policy and low.pdf.jpg
  • Article


  • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a counterfactual scenario analysis, the results show that monetary policy shocks, as identified by changes in Treasury yields following changes in the central bank’s target interest rates, lead to a substantial increase in pension funds’ allocation to equity assets. Notably, the shift from bonds to equity securities is greater during the period where the US Federal Reserve launched unconventional monetary policy measures. Additional fin...

  • Black swan events and safe havens - The role of gold in globally.pdf.jpg
  • Article


  • Authors: Bekiros, Stelios; Boubaker, Sabri; Nguyen, Duc Khuong; Uddin, Gazi Salah (2017)

  • There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets a...

  • The shifting dependence dynamics between the G7 stock markets.pdf.jpg
  • Article


  • Authors: BenSaïda, Ahmed; Sabri, Boubaker; Nguyen, Duc Khuong (2017)

  • The growing interdependence between financial markets has attracted special attention from academic researchers and finance practitioners for the purpose of optimal portfolio design and contagion analysis. This article develops a tractable regime-switching version of the copula functions to model the intermarkets linkages during turmoil and normal periods, while taking into account structural changes. More precisely, Markov regime-switching C-vine and D-vine decompositions of the Student’s t copula are proposed and applied to returns on diversified portfolios of stocks, represented by the G7 stock market indices. The empirical results show evidence of regime shifts in the depend...

Browsing by Author Nguyen, Duc Khuong

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 4 of 4
  • Assessing the effects of unconventional monetary policy and low.pdf.jpg
  • Article


  • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a counterfactual scenario analysis, the results show that monetary policy shocks, as identified by changes in Treasury yields following changes in the central bank’s target interest rates, lead to a substantial increase in pension funds’ allocation to equity assets. Notably, the shift from bonds to equity securities is greater during the period where the US Federal Reserve launched unconventional monetary policy measures. Additional fin...

  • Black swan events and safe havens - The role of gold in globally.pdf.jpg
  • Article


  • Authors: Bekiros, Stelios; Boubaker, Sabri; Nguyen, Duc Khuong; Uddin, Gazi Salah (2017)

  • There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets a...

  • The shifting dependence dynamics between the G7 stock markets.pdf.jpg
  • Article


  • Authors: BenSaïda, Ahmed; Sabri, Boubaker; Nguyen, Duc Khuong (2017)

  • The growing interdependence between financial markets has attracted special attention from academic researchers and finance practitioners for the purpose of optimal portfolio design and contagion analysis. This article develops a tractable regime-switching version of the copula functions to model the intermarkets linkages during turmoil and normal periods, while taking into account structural changes. More precisely, Markov regime-switching C-vine and D-vine decompositions of the Student’s t copula are proposed and applied to returns on diversified portfolios of stocks, represented by the G7 stock market indices. The empirical results show evidence of regime shifts in the depend...