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Publications

by alumni of

Jönköping Universitet → Internationella Handelshögskolan

Jonkoping University → Jönköping International Business School

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters | Software components |

Working papers

2024

  1. Abdulnasser Hatemi-J, 2024, "On the Asymmetric Volatility Connectedness," Papers, arXiv.org, number 2404.12997, Apr, revised May 2024.
  2. Abdulnasser Hatemi-J, 2024, "An Asymmetric Capital Asset Pricing Model," Papers, arXiv.org, number 2404.14137, Apr, revised May 2024.
  3. Abdulnasser Hatemi-J, 2024, "Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin," Papers, arXiv.org, number 2407.19932, Jul, revised Aug 2024.
  4. Abdulnasser Hatemi-J, 2024, "Efficient Asymmetric Causality Tests," Papers, arXiv.org, number 2408.03137, Aug, revised Oct 2024.

2023

  1. Abdulnasser Hatemi-J & Alan Mustafa, 2023, "A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios," Papers, arXiv.org, number 2305.12826, May.

2022

  1. El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022, "On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 114556, Sep.

2021

  1. Abdulnasser Hatemi-J, 2021, "Dynamic Asymmetric Causality Tests with an Application," Papers, arXiv.org, number 2106.07612, Jun, revised Jun 2021.

2020

  1. Abdulnasser Hatemi-J, 2020, "Bear Markets and Recessions versus Bull Markets and Expansions," Papers, arXiv.org, number 2009.01343, Aug, revised Nov 2020.

2019

  1. Abdulnasser Hatemi-J & Mohamed Ali Hajji & Youssef El-Khatib, 2019, "Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return," Papers, arXiv.org, number 1903.01082, Mar.
  2. Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2019, "The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Working Papers, University of Pretoria, Department of Economics, number 201959, Aug.

2018

  1. Abdulnasser Hatemi-J & Youssef El-Khatib, 2018, "Valuation of Currency Options in Markets with a Crunch," Papers, arXiv.org, number 1801.08346, Jan.
  2. Abdulnasser Hatemi-J & Youssef El-Khatib, 2018, "The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation," Papers, arXiv.org, number 1802.08987, Feb.
  3. R. Scott Hacker & Abdulnasser Hatemi-J, 2018, "Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing," Papers, arXiv.org, number 1805.08991, May.
  4. Abdulnasser Hatemi-J & Chi-Chuan Lee & Chien-Chiang Lee & Rangan Gupta, 2018, "Insurance Activity and Economic Performance: Fresh Evidence from Asymmetric Panel Causality Tests," Working Papers, University of Pretoria, Department of Economics, number 201828, May.
  5. Aviral Kumar Tiwari & Juncal Cunado & Abdulnasser Hatemi-J & Rangan Gupta, 2018, "Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis," Working Papers, University of Pretoria, Department of Economics, number 201865, Oct.

2017

  1. Youssef El-Khatib & Abdulnasser Hatemi-J, 2017, "Computation of second order price sensitivities in depressed markets," Papers, arXiv.org, number 1705.02473, May, revised Jan 2018.

2016

  1. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016, "Testing for Financial Market Integration of the Chinese Market with the US Market," MPRA Paper, University Library of Munich, Germany, number 72733.
  2. Hatemi-J, Abdulnasser & Mustafa, Alan, 2016, "A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts," MPRA Paper, University Library of Munich, Germany, number 73813, Sep.

2015

  1. Abdulnasser Hatemi-J & Tsangyao Chang & Wen-Yi Chen & Feng-Li Lin & Rangan Gupta, 2015, "Asymmetric Granger Causality between Military Expenditures and Economic Growth in Top Six Defense Suppliers," Working Papers, University of Pretoria, Department of Economics, number 201565, Sep.

2014

  1. Abdulnasser Hatemi-J & Eduardo Roca, 2014, "BRICs and PIGS in the presence of Uncle Sam and big brothers: Who drive who? Evidence based on asymmetric causality tests," Discussion Papers in Accounting, Griffith University, Department of Accounting, Finance and Economics, number finance:201401, Jan.
  2. Abdulnasser Hatemi-J & Ahdi N. Ajmi & Ghassen El Montasser & Roula Inglesi-Lotz & Rangan Gupta, 2014, "Research Output and Economic Growth in G7 Countries: New Evidence from Asymmetric Panel Causality Testing," Working Papers, University of Pretoria, Department of Economics, number 201438, Aug.
  3. Abdulnasser Hatemi-J & Rangan Gupta & Axel Kasongo & Thabo Mboweni & Ndivhuho Netshitenzhe, 2014, "Are there Asymmetric Causal Relationships between Tourism and Economic Growth in a Panel of G-7 Countries?," Working Papers, University of Pretoria, Department of Economics, number 201476, Nov.

2013

  1. Youssef El-Khatib & Abdulnasser Hatemi-J, 2013, "On the pricing and hedging of options for highly volatile periods," Papers, arXiv.org, number 1304.4688, Apr.
  2. Youssef El-Khatib & Abdulnasser Hatemi-J, 2013, "On option pricing in illiquid markets with jumps," Papers, arXiv.org, number 1304.4690, Apr.
  3. Hatemi-J, Abdulnasser, 2013, "A New Asymmetric GARCH Model: Testing, Estimation and Application," MPRA Paper, University Library of Munich, Germany, number 45170, Mar.
  4. El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013, "On option pricing in illiquid markets with random jumps," MPRA Paper, University Library of Munich, Germany, number 45172, Mar.

2011

  1. Abdulnasser Hatemi-J & Eduardo Roca, 2011, "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201111, Nov.
  2. El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011, "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper, University Library of Munich, Germany, number 30596.
  3. Abdulnasser, Hatemi-J, 2011, "Hidden panel cointegration," MPRA Paper, University Library of Munich, Germany, number 31604, Jun.
  4. Hatemi-J, Abdulnasser, 2011, "Asymmetric generalized impulse responses and variance decompositions with an application," MPRA Paper, University Library of Munich, Germany, number 31700.
  5. Hatemi-J, Abdulnasser, 2011, "Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia," MPRA Paper, University Library of Munich, Germany, number 55527, Nov.

2010

  1. Abdulnasser Hatemi-J & Eduardo Roca, 2010, "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201003, Mar.
  2. Abdulnasser Hatemi-J & Eduardo Roca, 2010, "Estimating Optimal Hedge Ratio with Unknown Structural Breaks," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201010, Oct.
  3. Hacker, Scott & Hatemi-J, Abdulnasser, 2010, "The Properties of Procedures Dealing with Uncertainty about Intercept and Deterministic Trend in Unit Root Testing," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 214, Feb.
  4. Hacker, R. Scott & Hatemi-J, Abdulnasser, 2010, "A Bootstrap Test for Causality with Endogenous Lag Length Choice - theory and application in finance," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 223, Apr.
  5. Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010, "Stochastic optimal hedge ratio: Theory and evidence," MPRA Paper, University Library of Munich, Germany, number 26153.

2004

  1. Eduardo D. Roca & Abdulnasser Hatemi-J, 2004, "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings, Econometric Society, number 99, Aug.
  2. Abdulnasser , Hatemi-J & Manuchehr, Irandoust, 2004, "Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology," Working Papers, Örebro University, School of Business, number 2004:1, Sep.

1999

  1. Hatemi-J, Abdulnasser, 1999, "Fiscal Policy in Sweden: Effects of EMU Criteria Convergence," Working Papers, Lund University, Department of Economics, number 1999:5, Sep, revised Nov 1999.

Journal articles

2025

  1. Abdulnasser Hatemi-J, 2025, "An Asymmetric Capital Asset Pricing Model," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 78, issue 4, pages 675-686, October, DOI: 10.65644/EIIE.078.04.0675.

2023

  1. Youssef El-Khatib & Abdulnasser Hatemi-J, 2023, "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, volume 51, issue 2, pages 485-498, July, DOI: 10.1108/JES-03-2023-0134.
  2. Abdulnasser Hatemi-J & Youssef El-Khatib, 2023, "The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 76, issue 1, pages 135-146.

2022

  1. Hatemi-J, Abdulnasser & Hajji, Mohamed Ali & El-Khatib, Youssef, 2022, "Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return," Research in International Business and Finance, Elsevier, volume 59, issue C, DOI: 10.1016/j.ribaf.2021.101548.
  2. Abdulnasser Hatemi-J & Eduardo Roca & Alan Mustafa, 2022, "Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches," Journal of Economic Studies, Emerald Group Publishing Limited, volume 50, issue 4, pages 790-805, June, DOI: 10.1108/JES-04-2022-0214.
  3. Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2022, "The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., volume 39, issue 04, pages 1-11, August, DOI: 10.1142/S0217595920400242.

2021

  1. R. Scott Hacker & Abdulnasser Hatemi-J, 2021, "Model selection in time series analysis: using information criteria as an alternative to hypothesis testing," Journal of Economic Studies, Emerald Group Publishing Limited, volume 49, issue 6, pages 1055-1075, September, DOI: 10.1108/JES-09-2020-0469.
  2. Abdulnasser Hatemi-J & Per-Ola MANESCHIÖLD, 2021, "Testing for the Tourism Led Economic Growth Hypothesis in Sweden with Structural Breaks," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 3, pages 293-310.
  3. Abdulnasser Hatemi-J & Viyan Taha, 2021, "Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 74, issue 4, pages 537-546.

2020

  1. Alsamara, Mouyad & Mrabet, Zouhair & Hatemi-J, Abdulnasser, 2020, "Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model," International Review of Economics & Finance, Elsevier, volume 70, issue C, pages 89-101, DOI: 10.1016/j.iref.2020.07.009.
  2. Abdulnasser Hatemi-J & Youssef El-Khatib, 2020, "The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach," Journal of Economic Studies, Emerald Group Publishing Limited, volume 47, issue 7, pages 1579-1589, April, DOI: 10.1108/JES-06-2019-0266.
  3. Abdulnasser Hatemi-J, 2020, "Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 73, issue 3, pages 389-404.

2019

  1. Abdulnasser Hatemi‐J & Chi‐Chuan Lee & Chien‐Chiang Lee & Rangan Gupta, 2019, "Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests," International Finance, Wiley Blackwell, volume 22, issue 2, pages 221-240, August, DOI: 10.1111/infi.12333.
  2. Tiwari, Aviral Kumar & Cunado, Juncal & Hatemi-J, Abdulnasser & Gupta, Rangan, 2019, "Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis," Structural Change and Economic Dynamics, Elsevier, volume 50, issue C, pages 51-55, DOI: 10.1016/j.strueco.2019.05.002.
  3. Abdulnasser Hatemi-J, 2019, "The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 72, issue 2, pages 171-184.
  4. Abdulnasser Hatemi-J & Safa Al-Mohana, 2019, "Testing for Financial Market Integration of the UAE Market with the Global Market," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 72, issue 4, pages 475-492.

2018

  1. Abdulnasser Hatemi-J & Rangan Gupta & Axel Kasongo & Thabo Mboweni & Ndivhuho Netshitenzhe, 2018, "Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 45, issue 1, pages 49-57, February, DOI: 10.1007/s10663-016-9345-3.
  2. Abdulnasser Hatemi-J & Tsangyao Chang & Wen-Yi Chen & Feng-Li Lin & Rangan Gupta, 2018, "Asymmetric causality between military expenditures and economic growth in top six defense spenders," Quality & Quantity: International Journal of Methodology, Springer, volume 52, issue 3, pages 1193-1207, May, DOI: 10.1007/s11135-017-0512-9.

2017

  1. Youssef El-Khatib & Abdulnasser Hatemi-J, 2017, "Option valuation and hedging in markets with a crunch," Journal of Economic Studies, Emerald Group Publishing Limited, volume 44, issue 5, pages 801-815, October, DOI: 10.1108/JES-04-2016-0083.
  2. Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017, "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, volume 49, issue 16, pages 1584-1592, April, DOI: 10.1080/00036846.2016.1221045.

2016

  1. Abdulrahman Al-Shayeb & Abdulnasser Hatemi-J, 2016, "Trade openness and economic development in the UAE: an asymmetric approach," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 4, pages 587-597, September, DOI: 10.1108/JES-06-2015-0094.
  2. Safa Al-Mohana & Abdulnasser Hatemi-J, 2016, "The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 69, issue 4, pages 389-428.
  3. Abdulnasser Hatemi-J & Mrittika Shamsuddin, 2016, "The causal interaction between financial development and human development in Bangladesh," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 14, pages 995-998, September, DOI: 10.1080/13504851.2015.1128066.
  4. Abdulnasser Hatemi-J, 2016, "On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 6, pages 424-427, April, DOI: 10.1080/13504851.2015.1078440.
  5. Abdulnasser Hatemi-J & Ahdi N. Ajmi & Ghassen El Montasser & Roula Inglesi-Lotz & Rangan Gupta, 2016, "Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing," Applied Economics, Taylor & Francis Journals, volume 48, issue 24, pages 2301-2308, May, DOI: 10.1080/00036846.2015.1117052.
  6. Abdulnasser Hatemi-J & Youssef El-Khatib, 2016, "An extension of the asymmetric causality tests for dealing with deterministic trend components," Applied Economics, Taylor & Francis Journals, volume 48, issue 42, pages 4033-4041, September, DOI: 10.1080/00036846.2016.1150950.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2016, "BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests," Applied Economics, Taylor & Francis Journals, volume 48, issue 59, pages 5772-5778, December, DOI: 10.1080/00036846.2016.1184379.

2015

  1. Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015, "Portfolio selection: An alternative approach," Economics Letters, Elsevier, volume 135, issue C, pages 141-143, DOI: 10.1016/j.econlet.2015.08.021.
  2. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2015, "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 2, pages 213-228.

2014

  1. Hatemi-J, Abdulnasser, 2014, "Asymmetric generalized impulse responses with an application in finance," Economic Modelling, Elsevier, volume 36, issue C, pages 18-22, DOI: 10.1016/j.econmod.2013.09.014.
  2. Hatemi-J, Abdulnasser & Roca, Eduardo & Al-Shayeb, Abdulrahman, 2014, "How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis," Economic Modelling, Elsevier, volume 37, issue C, pages 137-142, DOI: 10.1016/j.econmod.2013.10.037.
  3. Abdulrahman Al-Shayeb & Abdulnasser Hatemi-J, 2014, "The Performance of the Banking Sector in the UAE - La performance del settore bancario negli Emirati Arabi Uniti," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 67, issue 4, pages 439-448.
  4. Abdulnasser Hatemi-J, 2014, "On the interaction between government spending and economic performance in Sweden: an asymmetric approach," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 15, pages 1099-1103, October, DOI: 10.1080/13504851.2014.912027.
  5. Abdulnasser Hatemi-J & Gazi Salah Uddin, 2014, "On the causal nexus of remittances and poverty reduction in Bangladesh," Applied Economics, Taylor & Francis Journals, volume 46, issue 4, pages 374-382, February, DOI: 10.1080/00036846.2013.844331.
  6. Abdulnasser Hatemi-J & Eduardo Roca, 2014, "Estimating the optimal hedge ratio in the presence of potential unknown structural breaks," Applied Economics, Taylor & Francis Journals, volume 46, issue 8, pages 790-795, March, DOI: 10.1080/00036846.2013.854303.

2013

  1. Abdulnasser Hatemi-J & Julio Sarmiento-Sabogal, 2013, "An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 66, issue 1, pages 57-67.
  2. Abdulrahman Al Shayeb & Abdulnasser Hatemi-J, 2013, "An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato az," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 66, issue 4, pages 425-438.
  3. Abdulnasser Hatemi-J & Fernando Zanella, 2013, "Testing for the government's intertemporal budget restriction in Brazil during 1823--1889," Applied Economics, Taylor & Francis Journals, volume 45, issue 12, pages 1533-1540, April, DOI: 10.1080/00036846.2011.629984.

2012

  1. Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012, "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, volume 36, issue 3, pages 461-469, DOI: 10.1016/j.ecosys.2011.10.005.
  2. Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
  3. Scott Hacker & Abdulnasser Hatemi‐J, 2012, "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 144-160, May, DOI: 10.1108/01443581211222635.
  4. Abdulnasser Hatemi‐J & Manuchehr Irandoust, 2012, "Asymmetric interaction between government spending and terms of trade volatility," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 3, pages 368-378, July, DOI: 10.1108/01443581211245937.
  5. Abdulnasser Hatemi-J, 2012, "Asymmetric causality tests with an application," Empirical Economics, Springer, volume 43, issue 1, pages 447-456, August, DOI: 10.1007/s00181-011-0484-x.
  6. Abdulnasser Hatemi-J & Youssef El-Khatib, 2012, "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 8, pages 699-703, May, DOI: 10.1080/13504851.2011.572841.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2012, "A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks," Applied Economics, Taylor & Francis Journals, volume 44, issue 11, pages 1443-1448, April, DOI: 10.1080/00036846.2010.543075.

2011

  1. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011, "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, volume 28, issue 6, pages 2560-2565, DOI: 10.1016/j.econmod.2011.07.017.
  2. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011, "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, volume 25, issue 3, pages 329-334, September.
  3. A. Hatemi-J, 2011, "A re-examination of the Fisher effect using an alternative approach," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 9, pages 855-858, DOI: 10.1080/13504851.2010.505551.

2010

  1. Al Janabi, Mazin A.M. & Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2010, "An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation," International Review of Financial Analysis, Elsevier, volume 19, issue 1, pages 47-54, January.
  2. Mazin A. M. Al Janabi & Abdulnasser Hatemi-J & Manuchehr Irandoust, 2010, "Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 46, issue 5, pages 39-47, September.
  3. Abdulnasser Hatemi-J, 2010, "Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 63, issue 3, pages 297-304.

2009

  1. Abdulnasser Hatemi‐J & Bryan Morgan, 2009, "An empirical analysis of the informational efficiency of Australian equity markets," Journal of Economic Studies, Emerald Group Publishing Limited, volume 36, issue 5, pages 437-445, September, DOI: 10.1108/01443580910992366.
  2. A. Hatemi-J & R. S. Hacker, 2009, "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?," Applied Economics, Taylor & Francis Journals, volume 41, issue 9, pages 1121-1125, DOI: 10.1080/00036840601019273.

2008

  1. Abdulnasser Hatemi-J & Per-Ola Maneschiöld & Eduardo Roca, 2008, "Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 61, issue 4, pages 665-685.
  2. Abdulnasser Hatemi-J, 2008, "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, volume 35, issue 3, pages 497-505, November, DOI: 10.1007/s00181-007-0175-9.
  3. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2008, "The Fisher effect: a Kalman filter approach to detecting structural change," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 8, pages 619-624, DOI: 10.1080/13504850600721924.
  4. Abdulnasser Hatemi-J & Eduardo Roca, 2008, "Estimating banks' equity duration: a panel cointegration approach," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 14, pages 1173-1180, DOI: 10.1080/09603100701551640.
  5. R. Scott Hacker & Abdulnasser Hatemi-J, 2008, "Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH," Journal of Applied Statistics, Taylor & Francis Journals, volume 35, issue 6, pages 601-615, DOI: 10.1080/02664760801920473.

2007

  1. Abdulnasser Hatemi-J & R. Scott Hacker, 2007, "Capital mobility in Sweden: a time-varying parameter approach," Applied Economics Letters, Taylor & Francis Journals, volume 14, issue 15, pages 1115-1118, DOI: 10.1080/13504850600606018.
  2. Abdulnasser Hatemi-J, 2007, "Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor & Francis Journals, volume 15, issue 4, pages 239-243, DOI: 10.1080/13504850500461613.
  3. Abdulnasser Hatemi-J & Eduardo D. Roca, 2007, "Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 10, pages 827-835, DOI: 10.1080/09603100600722144.
  4. Abdulnasser Hatemi-J & Bryan Morgan, 2007, "Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility," Applied Financial Economics, Taylor & Francis Journals, volume 17, issue 15, pages 1245-1250, DOI: 10.1080/09603100600915243.

2006

  1. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006, "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, volume 23, issue 6, pages 993-1007, December.
  2. Abdulnasser Hatemi-J & Eduardo Roca & Jia Qiu Qiu, 2006, "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 59, issue 3, pages 295-316.
  3. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006, "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, volume 31, issue 1, pages 207-216, March, DOI: 10.1007/s00181-005-0038-1.
  4. Abdulnasser Hatemi-J & Eduardo Roca, 2006, "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, volume 13, issue 5, pages 293-299, DOI: 10.1080/13504850500365848.
  5. R. Scott Hacker & Abdulnasser Hatemi-J, 2006, "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor & Francis Journals, volume 38, issue 13, pages 1489-1500, DOI: 10.1080/00036840500405763.
  6. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006, "The response of industry employment to exchange rate shocks: evidence from panel cointegration," Applied Economics, Taylor & Francis Journals, volume 38, issue 4, pages 415-421, DOI: 10.1080/00036840500392243.

2005

  1. Hatemi, A. & Irandoust, M., 2005, "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 87-98.
  2. Manuchehr Irandoust & Abdulnasser Hatemi-J, 2005, "Pricing strategy, mark-up adjustment and foreign competition in the car industry," International Journal of Automotive Technology and Management, Inderscience Enterprises Ltd, volume 5, issue 3, pages 305-319.
  3. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2005, "Foreign Aid And Economic Growth: New Evidence From Panel Cointegration," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 30, issue 1, pages 71-80, June.
  4. Lokman Gündüz & Abdulnasser Hatemi-J, 2005, "Stock Price and Volume Relation in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 41, issue 1, pages 29-44, January.
  5. Abdulnasser Hatemi-J & Eduardo Roca & Fang Tang, 2005, "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 4, pages 449-470.
  6. R. Scott Hacker & Abdulnasser Hatemi-J, 2005, "Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 3, pages 327-336.
  7. R. Scott Hacker & Abdulnasser Hatemi-J, 2005, "A test for multivariate ARCH effects," Applied Economics Letters, Taylor & Francis Journals, volume 12, issue 7, pages 411-417, DOI: 10.1080/13504850500092129.
  8. Lokman Gunduz & Abdulnasser Hatemi-J, 2005, "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor & Francis Journals, volume 12, issue 8, pages 499-504, DOI: 10.1080/13504850500109865.
  9. Abdulnasser Hatemi-J & Eduardo Roca, 2005, "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 8, pages 539-546, DOI: 10.1080/09603100500056635.
  10. R. Scott Hacker & Abdulnasser Hatemi-J, 2005, "The effect of regime shifts on the long-run relationships for Swedish money demand," Applied Economics, Taylor & Francis Journals, volume 37, issue 15, pages 1731-1736, DOI: 10.1080/00036840500215444.

2004

  1. R. Scott Hacker & Abdulnasser Hatemi‐J, 2004, "The effect of exchange rate changes on trade balances in the short and long run," The Economics of Transition, The European Bank for Reconstruction and Development, volume 12, issue 4, pages 777-799, December, DOI: 10.1111/j.0967-0750.2004.00202.x.
  2. Hatemi-J, Abdulnasser, 2004, "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, volume 21, issue 4, pages 661-683, July.
  3. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004, "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 14, issue 3, pages 281-294, July.
  4. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2004, "Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 31, issue 1, pages 55-67, March, DOI: 10.1023/B:EMPI.0000024045.78590.3d.
  5. Abdulnasser Hatemi-J, 2004, "Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 4, pages 461-473.
  6. Abdulnasser Hatemi-J & Per-Ola Maneschiöld, 2004, "The Risk-Adjusted Interest Rate Parity: Panel Data Evidence," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 1, pages 1-10.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2004, "An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method," The European Journal of Finance, Taylor & Francis Journals, volume 10, issue 6, pages 475-488, DOI: 10.1080/1351847032000168678.

2003

  1. R. Hacker & Abdulnasser Hatemi-J, 2003, "Is the J-Curve Effect Observable for Small North European Economies?," Open Economies Review, Springer, volume 14, issue 2, pages 119-134, April, DOI: 10.1023/A:1022357828945.
  2. R. Scott Hacker & Abdulnasser Hatemi-J, 2003, "How productivity and domestic output are related to exports and foreign output in the case of Sweden," Empirical Economics, Springer, volume 28, issue 4, pages 767-782, November, DOI: 10.1007/s00181-003-0158-4.
  3. A. Hatemi-J, 2003, "A new method to choose optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor & Francis Journals, volume 10, issue 3, pages 135-137, DOI: 10.1080/1350485022000041050.

2002

  1. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002, "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Wiley Blackwell, volume 54, issue 2, pages 197-203, April.
  2. Hatemi-J, Abdulnasser, 2002, "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, volume 19, issue 1, pages 121-136, January.
  3. Hatemi-J, Abdulnasser, 2002, "Export performance and economic growth nexus in Japan: a bootstrap approach," Japan and the World Economy, Elsevier, volume 14, issue 1, pages 25-33, January.
  4. Abdulnasser Hatemi-J & Manucherhr Irandoust, 2002, "Investigating Causal Relations between Fixed Investment and Economic Growth," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 55, issue 1, pages 25-35.
  5. Abdulnasser Hatemi-J, 2002, "Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 17, pages 517-526.
  6. Abdulnasser Hatemi-J, 2002, "Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter," Applied Economics Letters, Taylor & Francis Journals, volume 9, issue 7, pages 433-439, DOI: 10.1080/13504850110086792.
  7. Abdulnasser Hatemi-J & Ghazi Shukur, 2002, "Multivariate-based causality tests of twin deficits in the US," Journal of Applied Statistics, Taylor & Francis Journals, volume 29, issue 6, pages 817-824, DOI: 10.1080/02664760220136159.
  8. Per Davidsson & Bruce Kirchhoff & Abdulnasser Hatemi–j & Helena Gustavsson, 2002, "Empirical Analysis of Business Growth Factors Using Swedish Data," Journal of Small Business Management, Taylor & Francis Journals, volume 40, issue 4, pages 332-349, October, DOI: 10.1111/1540-627X.00061.

2001

  1. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2001, "Productivity Performance and Export Performance: A Time-Series Perspective," Eastern Economic Journal, Eastern Economic Association, volume 27, issue 2, pages 149-164, Spring.
  2. Abdulnasser Hatemi-J & Manucherhr Irandoust, 2001, "Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 54, issue 2, pages 177-185.
  3. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2001, "Time-series evidence for Balassa's export-led growth hypothesis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 9, issue 3, pages 355-365, DOI: 10.1080/09638190050086195.

2000

  1. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2000, "Export performance and economic growth causality: An empirical analysis," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 28, issue 4, pages 412-426, December, DOI: 10.1007/BF02298394.

1999

  1. Abdulnasser Hatemi-J & Ghazi Shukur, 1999, "The causal nexus of government spending and revenue in Finland: a bootstrap approach," Applied Economics Letters, Taylor & Francis Journals, volume 6, issue 10, pages 641-644, DOI: 10.1080/135048599352411.

Chapters

2020

  1. Abdulnasser Hatemi-J & Youssef El-Khatib, 2020, "Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Stéphane Goutte & Khaled Guesmi, "Risk Factors and Contagion in Commodity Markets and Stocks Markets".

Software components

2026

  1. Alan Mustafa & Abdulnasser Hatemi-J, 2026, "PyTIVIPNC: Python Module for Transforming an Integrated Variable with and without Deterministic Trend Parts into Positive and Negative Components," Statistical Software Components, Boston College Department of Economics, number P00005, revised .

2025

  1. Alan Mustafa & Abdulnasser Hatemi-J, 2025, "GMDLBCT: GAUSS module for Implementing Dynamic Leverage Bootstrap Contagion Tests," Statistical Software Components, Boston College Department of Economics, number G00020, revised .

2024

  1. Alan Mustafa & Abdulnasser Hatemi-J, 2024, "PYDDOP: Python Module for Determining the Dimension of the Optimal Portfolio," Statistical Software Components, Boston College Department of Economics, number P00004, revised .

2023

  1. Alan Mustafa & Abdulnasser Hatemi-J, 2023, "PyCPTAM: Python Module for Constructing Portfolios via Two Alternative Methods," Statistical Software Components, Boston College Department of Economics, number P00003, revised .

2022

  1. Alan Mustafa & Abdulnasser Hatemi-J, 2022, "PMCT2ES: Python Module for Cointegration Tests with Two Endogenous Structural Shifts," Statistical Software Components, Boston College Department of Economics, number P00002, revised .

2021

  1. Abdulnasser Hatemi-J & Alan Mustafa, 2021, "DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests," Statistical Software Components, Boston College Department of Economics, number D00001, revised .
  2. Abdulnasser Hatemi-J & Alan Mustafa, 2021, "OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods," Statistical Software Components, Boston College Department of Economics, number G00018, revised .
  3. Scott Hacker & Abdulnasser Hatemi-J, 2021, "MODELSEL: GAUSS module for Model Selection in Time Series Analysis," Statistical Software Components, Boston College Department of Economics, number G00019, revised .
  4. Abdulnasser Hatemi-J & Alan Mustafa, 2021, "PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities," Statistical Software Components, Boston College Department of Economics, number P00001, revised .

2020

  1. Abdulnasser Hatemi-J & Alan Mustafa, 2020, "PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return," Statistical Software Components, Boston College Department of Economics, number G00017, revised .

2017

  1. Youssef El-Khatib & Abdulnasser Hatemi-J, 2017, "ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums," Statistical Software Components, Boston College Department of Economics, number CPP001, revised .
  2. Abdulnasser Hatemi-J & Alan Mustafa, 2017, "HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion," Statistical Software Components, Boston College Department of Economics, number OCT002, revised .

2016

  1. Abdulnasser Hatemi-J & Alan Mustafa, 2016, "TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts," Statistical Software Components, Boston College Department of Economics, number OCT001, revised .

2014

  1. Abdulnasser Hatemi-J, 2014, "ASCOMP: GAUSS module to Transform Data into Cumulative Positive and Negative Components," Statistical Software Components, Boston College Department of Economics, number G00015, revised .

2011

  1. Abdulnasser Hatemi-J, 2011, "ACTEST: GAUSS module to Apply Asymmetric Causality Tests," Statistical Software Components, Boston College Department of Economics, number G00014, revised .

2010

  1. Scott Hacker & Abdulnasser Hatemi-J, 2010, "LRAPP: GAUSS module to calculate multivariate IC with the LR test used in conflict to determine the optimal lag order in a VAR model," Statistical Software Components, Boston College Department of Economics, number G00010, revised .
  2. Scott Hacker & Abdulnasser Hatemi-J, 2010, "MV-AR: GAUSS module to calculate three multivariate tests for autocorrelation in VAR model," Statistical Software Components, Boston College Department of Economics, number G00011, revised .
  3. Scott Hacker & Abdulnasser Hatemi-J, 2010, "HHcte: GAUSS module to Apply a Bootstrap Test for Causality with Endogenous Lag Order," Statistical Software Components, Boston College Department of Economics, number G00012, revised .

2009

  1. Scott Hacker & Abdulnasser Hatemi-J, 2009, "HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments," Statistical Software Components, Boston College Department of Economics, number G00005, revised .
  2. Abdulnasser Hatemi-J, 2009, "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components, Boston College Department of Economics, number G00006, revised .
  3. Scott Hacker & Abdulnasser Hatemi-J, 2009, "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components, Boston College Department of Economics, number G00007, revised .
  4. Scott Hacker & Abdulnasser Hatemi-J, 2009, "LagOrder: GAUSS module to determine the optimal lag order in the VAR model based on Information Criteria," Statistical Software Components, Boston College Department of Economics, number G00008, revised .
  5. Scott Hacker & Abdulnasser Hatemi-J, 2009, "MV-ARCH: GAUSS module to implement the multivariate ARCH test," Statistical Software Components, Boston College Department of Economics, number G00009, revised .

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