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Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - 2007

This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method, historical simulation and filtred Historical Simulation, EVT and conditional EVT methods. Special...

Persistent link: https://www.econbiz.de/10015232595

Time-varying risk spillovers between renewable energy and Islamic stock markets : evidence from the Russia-Ukraine conflict

Ghallabi, Fahmi; Yousaf, Imran; Ghorbel, Ahmed; Li, … - In: Pacific-Basin finance journal 85 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014575116

Do commodities hedge regional stock markets at the same effectiveness level? : evidence from MGARCH models

Zghal, Rania; Melki, Amel; Ghorbel, Ahmed - In: International journal of emerging markets 19 (2024) 5, pp. 1359-1384

Persistent link: https://www.econbiz.de/10014560307

Measuring risk transmission between international oil and islamic stock markets : a comparative analysis with the gold markets

Ghallabi, Fahmi; Ghorbel, Ahmed; Kumar, Satish; Arshian … - In: International review of economics & finance : IREF 95 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10015143891

Commodity sectors and emerging stock markets : is there any risk transmission?

Ghallabi, Fahmi; Ghorbel, Ahmed - In: Afro-Asian Journal of Finance and Accounting : AAJFA 15 (2025) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10015326185

Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009500227

Measure of financial risk using conditional extreme value copulas with EVT margins

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Journal of risk 11 (2008/09) 4, pp. 51-85

Persistent link: https://www.econbiz.de/10003881605

Energy portfolio risk management using time-varying extreme value copula methods

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485

Persistent link: https://www.econbiz.de/10010419011

The conditional dependence structure of banking sector credit default swap indices

Zghal, Rania; Ghorbel, Ahmed; Triki, Mohamed Wajdi - In: International journal of financial markets and derivatives 4 (2015) 3/4, pp. 273-298

Persistent link: https://www.econbiz.de/10011546011

Dependence between oil price volatility, Islamic and conventional Dow Jones indexes : implication for portfolio management and hedging effectiveness

Fakhfekh, Mohamed; Ghorbel, Ahmed; Selmi, Nadhem; … - In: The journal of asset management 18 (2017) 1, pp. 29-48

Persistent link: https://www.econbiz.de/10011592759