Author
Shawkat Hammoudeh
Other affiliations: University of Economics, Ho Chi Minh City
Bio: Shawkat Hammoudeh is an academic researcher from Drexel University. The author has contributed to research in topics: Volatility (finance) & Stock market. The author has an hindex of 60, co-authored 279 publications receiving 11081 citations. Previous affiliations of Shawkat Hammoudeh include University of Economics, Ho Chi Minh City.
Papers published on a yearly basis
Papers
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TL;DR: In this article, the co-movements and information transmission among the spot prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate were examined.
461 citations
TL;DR: In this paper, the authors examined the volatility and shock transmission mechanism among US equity, global crude oil market, and equity markets of Saudi Arabia, Kuwait, and Bahrain, and found significant volatility spillover from the Saudi market to the oil market.
388 citations
TL;DR: The authors examined the dependence structure between the emerging stock markets of the BRICS countries and influential global factors using the quantile regression approach, and found that the stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as well as changes in the U.S. stock market uncertainty (CBOE Volatility Index).
347 citations
TL;DR: In this article, the authors supplement previous regime-switching studies on WTI crude oil and find two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, but with varying high-to-low volatility ratios.
338 citations
TL;DR: In this article, the authors examined the volatility behavior of three strategic commodities: gold, silver and copper, in the presence of crude oil and interest rate shocks, and found that gold and silver have almost the same volatility persistence which is greater than that of copper.
323 citations
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TL;DR: This work proposes an entirely non-recursive variational mode decomposition model, where the modes are extracted concurrently and is a generalization of the classic Wiener filter into multiple, adaptive bands.
Abstract: During the late 1990s, Huang introduced the algorithm called Empirical Mode Decomposition, which is widely used today to recursively decompose a signal into different modes of unknown but separate spectral bands. EMD is known for limitations like sensitivity to noise and sampling. These limitations could only partially be addressed by more mathematical attempts to this decomposition problem, like synchrosqueezing, empirical wavelets or recursive variational decomposition. Here, we propose an entirely non-recursive variational mode decomposition model, where the modes are extracted concurrently. The model looks for an ensemble of modes and their respective center frequencies, such that the modes collectively reproduce the input signal, while each being smooth after demodulation into baseband. In Fourier domain, this corresponds to a narrow-band prior. We show important relations to Wiener filter denoising. Indeed, the proposed method is a generalization of the classic Wiener filter into multiple, adaptive bands. Our model provides a solution to the decomposition problem that is theoretically well founded and still easy to understand. The variational model is efficiently optimized using an alternating direction method of multipliers approach. Preliminary results show attractive performance with respect to existing mode decomposition models. In particular, our proposed model is much more robust to sampling and noise. Finally, we show promising practical decomposition results on a series of artificial and real data.
4,111 citations
01 Jan 2002
TL;DR: This article investigated whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997) with negative results.
Abstract: We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline
3,770 citations
TL;DR: In this article, a computer program for modelling financial time series is presented, based on the Random Walk Hypothesis, which is used to forecast trends in prices in futures markets.
Abstract: Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.
1,115 citations
TL;DR: In this article, the authors explored the financial asset capabilities of bitcoin using GARCH models and found that bitcoin can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.
1,050 citations