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	Provedor de dados 31 (2) Autor Ahmedov, Zafarbek (1) Bessler, David A. (1) Masset, Philippe (1) Weisskopf, Jean-Philippe (1) Palavra-chave Financial Economics (2) Financial contagion (2) Agricultural Finance (1) Alternative assets (1) Causality (1) Cointegration (1) Conditional CAPM (1) DAG (1) Error correction (1) Portfolio diversification (1) Risk and Uncertainty (1) VAR (1) Wine (1) Mais... Tipo do documento Conference Paper or Presentation (1) Working or Discussion Paper (1) Ano 2011 (1) 2010 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última RAISE YOUR GLASS: WINE INVESTMENT AND THE FINANCIAL CRISIS 31 Masset, Philippe; Weisskopf, Jean-Philippe. This paper uses auction hammer prices over the period 1996-2009, with a special emphasis on periods of economic downturns, to examine risk, return and diversification benefits of fine wine. Our research shows evidence that the wine market is heterogeneous with wine regions and price categories evolving differently in terms of volume and turnover. We construct wine indices for various wine regions and prices using repeat-sales regressions and find out that fine wine yields higher returns and has a lower volatility compared to stocks especially in times of economic crises. Forming portfolios for typical investors and taking risk aversion, different financial assets and various wine indices into consideration we confirm that the addition of wine to a... Tipo: Working or Discussion Paper Palavras-chave: Wine; Alternative assets; Financial contagion; Portfolio diversification; Conditional CAPM; Financial Economics; Risk and Uncertainty. Ano: 2010 URL: http://purl.umn.edu/90484 Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis 31 Ahmedov, Zafarbek; Bessler, David A.. In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The results provide positive empirical evidence that there exist long-run equilibrium and contemporaneous causal structure among these stock markets. DAG analysis results show that Hong Kong is influenced by all other open markets in contemporaneous time, whereas Shanghai is not influenced by any of the other markets in contemporaneous time. Historical decompositions indicate that New York and Shanghai stock markets are highly exogenous and Germany and Hong Kong are the... Tipo: Conference Paper or Presentation Palavras-chave: VAR; Cointegration; Error correction; DAG; Causality; Financial contagion; Agricultural Finance; Financial Economics. Ano: 2011 URL: http://purl.umn.edu/98858 Registros recuperados: 2 Primeira ... 1 ... Última

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