Alan Mustafa
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View article: A Python Module for Implementing Cointegration Tests with Multiple Endogenous Structural Breaks
A Python Module for Implementing Cointegration Tests with Multiple Endogenous Structural Breaks Open
Testing for long-run relationships between time series variables with short-run adjustments is an integral part of many empirical studies nowadays. Allowing for structural breaks in the estimations is a pertinent issue within this context.…
View article: A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios 
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios Open
View article: A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios Open
This paper introduces a software component created in Visual Basic for Applications (VBA) that can be applied for creating an optimal portfolio using two different methods. The first method is the seminal approach of Markowitz and is based…
View article: A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios
A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios Open
This paper introduces a software component created in Visual Basic for Applications (VBA) that can be applied for creating an optimal portfolio using two different methods. The first method is the seminal approach of Markowitz that is base…
View article: Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches
Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches Open
Purpose In addition to the seminal approach of Markowitz (1952) that is based on finding the optimal budget shares for minimizing risk, the authors also make use of the approach developed by Hatemi-J and El-Khatib (2015), which is built on…
View article: PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities
PYEOCPS: Python Module for the Evaluation of Options and Calculation of the Price Sensitivities Open
This Python module determines the fair value of the European call and put options via Black and Scholes (1973) seminal formula as well as the alternative formula suggested by El-Khatib and Hatemi-J (2017) that is useful for option pricing …
View article: OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods
OPTVTAM: GAUSS module for Option Pricing via Two Alternative Methods Open
Options as derivative securities are regularly used by investors and financial institutions. The crucial issue within this context is to determine the fair price of an option. The Black and Scholes (1973) model is regularly used for this p…
View article: DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests
DASCT01: Gauss Module for estimating Dynamic Asymmetric and Symmetric Causality Tests Open
This Gauss module estimates the dynamic asymmetric causality tests developed by Hatemi-J (2012, 2021). The subsamples can be determined by (a) fixed rolling window or (b) by recursive rolling window anchored to the start. The dynamic tests…
View article: PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return
PDBVRAR: GAUSS module to Construct Portfolios via the Maximization of the Risk Adjusted Return Open
Investors have been aware of the potential benefits of portfolio diversification for a long time. Markowitz (1952) introduced the seminal method for optimizing the portfolio problem by finding the budget shares (i.e. the weights) that are …
View article: A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation
A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation Open
In this study, a tool has been designed and developed for learning about the concept of lag order within a dynamic model, which can be used in any teaching classes on statistics and financial data computation. To show a solution for a comp…
View article: The personalization of e-learning systems with the contrast of strategic knowledge and learner’s learning preferences: an investigatory analysis
The personalization of e-learning systems with the contrast of strategic knowledge and learner’s learning preferences: an investigatory analysis Open
In this study, reasons for proving the relevancy of personalisation of e-learning systems to act as a knowledge management system in which tacit to tacit type of knowledge (socialisation) can be delivered, are being provided. Nonaka’s know…
View article: TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts
TDICPS: OCTAVE module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with Deterministic Trend Parts Open
This module is developed using Octave which transforms an integrated variable into cumulative partial sums for positive and negative components. The underlying variable has both drift and trend. The transformed data can be used for impleme…
View article: A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts
A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts Open
Our aim is to describe how a software component called TDICPS can be used. TDICPS is a MS-Excel module developed in VBA (visual basics for applications) by the authors that transforms an integrated variable into cumulative partial sums for…
View article: Testing for Financial Market Integration of the Chinese Market with the US Market
Testing for Financial Market Integration of the Chinese Market with the US Market Open
This paper investigates empirically whether or not the financial market of China is integrated with the financial market of the US. Unlike most previous studies on financial market integration, we allow for asymmetry in our investigation. …
View article: BIOL 2050 LAB 1- Gender and Height
BIOL 2050 LAB 1- Gender and Height Open
In order to obtain the necessary data for height and gender, Krystal Nguyen, Aamna Malik, Savannah Wales, and I asked other students in the laboratory and recorded their answers. The data for height was recorded in feet followed by inches.…