scholarly journals CONDITIONAL DEPENDENCE STRUCTURE IN THE PRECIOUS METALS FUTURES MARKET

2019 ◽  
Vol VIII (1) ◽  
Author(s):  
Małgorzata Just ◽  
Aleksandra Łuczak ◽  
Agnieszka Kozera
Keyword(s):  
Precious Metals ◽  
Futures Market ◽  
Dependence Structure ◽  
Conditional Dependence

scholarly journals GGMnonreg: Non-Regularized Gaussian Graphical Models in R

2021 ◽  
Author(s):  
Donald Ray Williams
Keyword(s):  
Graphical Models ◽  
Brain Connectivity ◽  
Dependence Structure ◽  
Gaussian Graphical Models ◽  
Graphical Modeling ◽  
Conditional Dependence ◽  
Common Task ◽  
The Social ◽  
Cortical Regions ◽  
Low Dimensional

Studying complex relations in multivariate datasets is a common task across the sciences. Cognitive neuroscientists model brain connectivity with the goal of unearthing functional and structural associations betweencortical regions. In clinical psychology, researchers wish to better understand the intri-cate web of symptom interrelations that underlie mental health disorders. To this end, graphical modeling has emerged as an oft-used tool in the chest of scientific inquiry. Thebasic idea is to characterize multivariate relations by learning the conditional dependence structure. The cortical regions or symptoms are nodes and the featured connections linking nodes are edges that graphically represent the conditional dependence structure. Graphical modeling is quite common in fields with wide data, that is, when there are more variables (p) thanobservations (n). Accordingly, many regularization-based approaches have been developed for those kinds of data. More recently, graphical modeling has emerged in psychology, where the data is typically long or low-dimensional. The primary purpose of GGMnonreg is to provide methods that were specifically designed for low-dimensional data (e.g., those common in the social-behavioral sciences), for which there is a dearth of methodology.

Price Discovery in precious metals market: A study of Gold

GIS Business ◽  
2018 ◽  
Vol 13 (6) ◽  
pp. 13-20
Author(s):  
Dr. Narender Kumar ◽  
Mrs. Sunita Arora
Keyword(s):  
Granger Causality ◽  
Price Discovery ◽  
Precious Metals ◽  
Futures Market ◽  
Study Data ◽  
Futures Prices ◽  
Causality Test ◽  
Commodity Exchange ◽  
Long Time

Gold is the oldest known precious metal on this earth and for a long time it has been used as a standard currency. The present study has been undertaken with an attempt to analyze whether Indian futures market is playing its role of price discovery in case of gold or not. For the purpose of study, data for spot and futures prices for a period of four and a half years starting from June 2005 to December 2009 has been collected from the website of Multi Commodity Exchange of India Limited, India’s largest commodity exchange in terms of value of trading on commodity exchanges in India. Data has been tested for statioanrity and was found non stationary. It was then transformed to make it stationary. On the basis of Johansen’s cointegration test, series of spot and futures prices were found cointgrated. Granger Causality test was applied on stationary data. The results of the study show that futures market in India is performing its role of price discovery in case of Gold. Keywords: Price Discovery, Commodity Market, Granger Causality, Cointegration.

Islamic Commercial Law

1996 ◽  
Vol 13 (2) ◽  
pp. 197-212
Author(s):  
Mohammad Hashim Kamali
Keyword(s):  
Applied Sciences ◽  
Large Scale ◽  
Islamic Law ◽  
Precious Metals ◽  
Futures Market ◽  
Global Scale ◽  
Development Programs ◽  
Commercial Law ◽  
Muslim Countries ◽  
Wealth Generation

Introductory RemarksThe Islamic law of transactions (mu'amalat) has often been singled outas the most important area of contemporary research in Islamic theses, somuch so that, according to some observers, its priority is even higher thanthat of research in applied sciences and medicine. This status is due to thecritical importance of commercial transactions in the wealth generation andproductivity prospects of contemporary Muslim countries. New researchon issues of conventional fiqh al mu'amalat is essential for the viability andsuccess of economic development programs in Muslim countries. In recentdecades, research interest in fiqh al mu'amalat has been shifting increasinglyto specific themes and development of new operative formulas tostimulate profitable business in the marketplace. Evidently, futures tradingis one such theme where original ijtihad is required to enhance theprospects of economic success, especially in farming and agro-based industriesin developing Muslim countries.The futures market is where contracts for future sale and purchase canbe concluded for standardized quantities and qualities of commodities, currencies,bonds, and stocks. Ever since the large-scale inception of futuresmarkets in the early 1970s, new products and trading formulas in varioustrade sectors involving commodities, options, financial futures, and stockindex futures, among others, have increased so much that futures contractscurrently are available in over eighty commodities, ranging from foodgrains, oil and oil seeds, sugar, coffee, livestock, eggs, orange juice, cotton,rubber, precious metals, and currencies. In terms of volume, futures tradinghas far exceeded trading levels in conventional stocks and, currently, is thesingle most voluminous mode of commerce on the global scale ...

Conditional dependence structure between oil prices and international stock markets

2019 ◽  
Vol 14 (2) ◽  
pp. 439-467 ◽  
Author(s):  
Wajdi Hamma ◽  
Bassem Salhi ◽  
Ahmed Ghorbel ◽  
Anis Jarboui
Keyword(s):  
Stock Markets ◽  
Oil Prices ◽  
Conditional Variance ◽  
Optimal Portfolio ◽  
Dependence Structure ◽  
Hedging Strategy ◽  
Content Type ◽  
Conditional Dependence ◽  
Hedge Ratios ◽  
Stock Portfolio

Purpose The purpose of this paper is to analyze the optimal hedging strategy of the oil-stock dependence structure. Design/methodology/approach The methodology consists to model the data over the daily period spanning from January 02, 2002 to May 19, 2016 by a various copula functions to better modeling the dependence between crude oil market and stock markets, and to use dependence coefficients and conditional variance to calculate optimal portfolio weights and optimal hedge ratios, and to suggest the best hedging strategy for oil-stock portfolio. Findings The findings show that the Gumbel copula is the best model for modeling the conditional dependence structure of the oil and stock markets in most cases. They also indicate that the best hedging strategy for oil price by stock market varies considerably over time, but this variation depends on both the index introduced and the model used. However, the conditional copula method with skewed student more effective than the other models to minimize the risk of oil-stock portfolio. Originality/value This research implication can be valuable for portfolio managers and individual investors who seek to make earnings by diversifying their portfolios. The findings of this study provide evidence of the importance of stock assets for making an optimal portfolio consisting of oil in the case of investments in oil and stock markets. This paper attempts to fill the voids in the literature on volatility among oil prices and stock markets in two important areas. First, it uses copulas to investigate the conditional dependence structure of the oil crude and stock markets in the oil exporting and importing countries. Second, it uses the dependence coefficients and conditional variance to calculate dynamic hedge ratios and risk-minimizing optimal portfolio weights for oil–stock.

scholarly journals On the Conditional Dependence Structure of Multivariate Random Variables

2006 ◽  
Vol 13 (3) ◽  
pp. 513-524
Author(s):  
Jong-Il Baek ◽  
Sung-Tae Park ◽  
Sung-Mo Chung ◽  
Gil-Hwan Lee ◽  
Gil-Pyo Heo
Keyword(s):  
Random Variables ◽  
Dependence Structure ◽  
Conditional Dependence
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