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Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory

Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 41 (2014), pp. 1-18

Persistent link: https://www.econbiz.de/10010374635

Modeling Bitcoin price volatility : long memory vs Markov switching

Chkili, Walid - In: Eurasian economic review : a journal in applied … 11 (2021) 3, pp. 433-448

Persistent link: https://www.econbiz.de/10012616005

Overview of the special issue on "Rethinking risks in international financial markets : modeling tools and applications"

Nguyen, Duc Khuong - In: Economic modelling 40 (2014), pp. 367-368

Persistent link: https://www.econbiz.de/10010425596

Forward Rate Unbiasedness Hypothesis in the Tunisian Foreign Exchange Market

Azouzi, Dhekra - 2012

Based on a linear framework, this paper aims to examine the relationship between future spot rates and forward exchange rates using USD-TND data, thanks to traditional regressions and to the Vector Error Correction Model (VECM) in order to check if the Unbiasedness Forward Exchange Rate (UFER)...

Persistent link: https://www.econbiz.de/10013115567

Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models

Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54

Persistent link: https://www.econbiz.de/10010474200

Commonality in liquidity : lessons from an emerging stock market

Tissaoui, Kais; Ftiti, Zied; Aloui, Chaker - In: The journal of applied business research 31 (2015) 5, pp. 1927-1951

Persistent link: https://www.econbiz.de/10011412496

Measuring risk of portfolio : GARCH-copula model

Messaoud, Samia Ben; Aloui, Chaker - In: Journal of economic integration 30 (2015) 1, pp. 172-205

Persistent link: https://www.econbiz.de/10011406924

Emerging equity markets connectedness, portfolio hedging strategies and effectiveness

Harrathi, Nizar; Aloui, Chaker; Houfi, Mohamed Ali; … - In: International journal of financial research 7 (2016) 2, pp. 189-201

Persistent link: https://www.econbiz.de/10011577189

On interactions between remittance outflows and Saudi Arabian macroeconomy : new evidence from wavelets

Hathroubi, Salem; Aloui, Chaker - In: Economic modelling 59 (2016), pp. 32-45

Persistent link: https://www.econbiz.de/10011647618

Spillovers across European sovereign credit markets and role of surprise and uncertainty

Bekiros, Stelios; Shahzad, Syed Jawad Hussain; Jammazi, … - In: Applied economics 52 (2020) 8, pp. 851-865

Persistent link: https://www.econbiz.de/10012197481

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