Hossein Asgharian

Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

P.O. Box 7082

S-220 07 Lund

Sweden

  • Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

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    • Tel: 046-222-86-87
SCHOLARLY PAPERS

21

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27

Scholarly Papers (21)

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1.

A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios in Multifactor Asset Pricing Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 31 Posted: 16 Mar 2002
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 467 (59,503)
Citation 1

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2.

Investment Strategies Using Orthogonal Portfolios

EFMA 2003 Helsinki Meetings
Number of pages: 42 Posted: 23 Jun 2003
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 365 (79,861)

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3.

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Number of pages: 38 Posted: 12 Apr 2014 Last Revised: 04 Nov 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 251 (120,147)
Citation 4

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DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation

4.

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

Number of pages: 47 Posted: 22 Mar 2018 Last Revised: 09 May 2019
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 196 (152,727)

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Economic Policy Uncertainty Index, Mixed Data Sampling, Stock Market Correlation, Stock Market Volatility, Asymmetry

5.

Effects of Macroeconomic Uncertainty on the Stock and Bond Markets

Number of pages: 14 Posted: 24 Mar 2015 Last Revised: 26 Mar 2015
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES and Stockholm University
Downloads 194 (154,176)
Citation 3

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DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility

6.

Institutional Quality, Trust and Stock-Market Participation: Learning to Forget

Number of pages: 44 Posted: 20 Dec 2013 Last Revised: 29 Mar 2017
Hossein Asgharian, Lu Liu and Frederik Lundtofte
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University and Lund University - Department of Economics
Downloads 185 (160,904)
Citation 1

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institutional quality, learning, trust, stock-market participation

7.

Home Bias in European Countries within a Bayesian Framework

EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 28 May 2004
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 152 (190,882)

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8.

A Conditional Asset Pricing Model with the Optimal Orthogonal Portfolio

Number of pages: 36 Posted: 17 Mar 2009
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies
Downloads 140 (204,085)
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9.

A Comparative Analysis of Ability of Mimicking Portfolios in Representing the Background Factors

Number of pages: 35 Posted: 29 Jan 2004
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies
Downloads 135 (210,097)
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10.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

Number of pages: 11 Posted: 04 Oct 2016 Last Revised: 12 Jan 2018
Hossein Asgharian, Charlotte Christiansen, Rangan Gupta and Ai Jun Hou
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, University of Pretoria - Department of Economics and Stockholm University
Downloads 126 (221,767)

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economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility

11.

Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing

Number of pages: 37 Posted: 05 Oct 2017 Last Revised: 29 May 2019
Hossein Asgharian, Charlotte Christiansen, Ai Jun Hou and Weining Wang
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Aarhus University - CREATES, Stockholm University and Humboldt University of Berlin
Downloads 103 (256,558)
Citation 1

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long-run betas; short-run betas; risk premia; component GARCH model; MIDAS

12.

The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 41 Posted: 16 Mar 2002
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 97 (266,978)

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13.

Stock Return Dependence and Product Market Linkages

Number of pages: 42 Posted: 06 Sep 2017 Last Revised: 26 Oct 2018
Hossein Asgharian and Lu Liu
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Stockholm Business School, Stockholm University
Downloads 95 (270,578)

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network, return comovement, competition and contagion effects, supply chain

14.

Systemic Risk and Centrality Revisited: The Role of Interactions

Number of pages: 37 Posted: 01 May 2017 Last Revised: 04 Mar 2019
Hossein Asgharian, Dominika Krygier and Anders Vilhelmsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 69 (327,546)

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Systemic Risk, Network Centrality, Loan Syndication, CoVaR

15.

Risk Contagion Among International Stock Markets

Number of pages: 46 Posted: 26 Mar 2008
Hossein Asgharian and Marcus Nossman
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University
Downloads 67 (332,784)
Citation 13

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Spillover, jump, stochastic volatility, wavelet, Markov Chain Monte Carlo.

16.

Cross-Border Asset Holdings and Comovements in Sovereign Bond Markets

Journal of International Money and Finance, Vol. 86, No. 9, 2018
Number of pages: 46 Posted: 06 Oct 2015 Last Revised: 25 Oct 2018
Hossein Asgharian, Lu Liu and Marcus Larsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Stockholm Business School, Stockholm University and Handelsbanken
Downloads 41 (414,945)

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yield-curve factors, cross-border asset holding, spatial dependence, Euro bond markets, sovereign credit default swap

17.

Equity Risk Factors for a Small Open Economy: A Risk Management Perspective

Multinational Finance Journal, Vol. 5, No. 4, p. 225-257, 2001
Number of pages: 33 Posted: 08 Jul 2015
Hossein Asgharian and Bjorn Hansson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 10 (573,886)

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multifactor models; open economy; return covariance; risk management

18.

Financial and Economic Integration's Impact on Asian Equity Markets’ Sensitivity to External Shocks

Financial Review, Vol. 48, Issue 2, pp. 343-363, 2013
Number of pages: 21 Posted: 05 Apr 2013
Hossein Asgharian and Marcus Nossman
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University
Downloads 2 (630,209)
Citation 1
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spillover, jump in returns, stochastic volatility, Markov Chain Monte Carlo

19.

A Spatial Analysis of International Stock Market Linkages

Journal of Banking and Finance, vol. 37(12), pp. 4738–4754
Posted: 21 Mar 2011 Last Revised: 07 Oct 2015
Hossein Asgharian, Wolfgang Hess and Lu Liu
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies, Lund University - Department of Economics and Stockholm Business School, Stockholm University

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Financial and economic integration, Stock market co-movements, Spatial econometrics, Spillover and feedback effects

20.

Jump Spillover in International Equity Markets

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 167-203, 2006
Posted: 29 Feb 2008
Hossein Asgharian and Christoffer Bengtsson
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics

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event risk, jump-diffusion model, Markov chain Monte Carlo, spillover, stochastic volatility, systemic risk

21.

Cross-Sectional Analysis of Swedish Stock Returns with Time-Varying Beta

European Financial Management, Vol. 6, No. 2, June 2000
Posted: 12 Aug 2000
Hossein Asgharian
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies

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Cross Sectional Multifactor Model, Swedish Stock Returns, Time-varying Beta, Errors in Variables, Extreme Bound Analysis