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Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis

Charfeddine, Lanouar - In: Economic modelling 53 (2016), pp. 354-374

Persistent link: https://www.econbiz.de/10011641058

Money demand and black market exchange rate : a cointegration approach with structural break

AI Samara, Mouyad; Charfeddine, Lanouar; Mrabet, Zouhair - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 2, pp. 177-199

Persistent link: https://www.econbiz.de/10011748635

Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting

Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599

Persistent link: https://www.econbiz.de/10011850296

The forward premium anomaly in the energy futures markets : a time-varying approach

Charfeddine, Lanouar; Ben Khediri, Karim; Mrabet, Zouhair - In: Research in international business and finance 47 (2019), pp. 600-615

Persistent link: https://www.econbiz.de/10012135806

Non-linear models and the forward discount anomaly : an empirical investigation

Lanouar, Charfeddine - In: International journal of economics and finance 2 (2010) 1, pp. 81-96

Persistent link: https://www.econbiz.de/10009311098

Which is the Best Model for the US Inflation Rate : A Structural Change Model or a Long Memory Process?

Lanouar, Charfeddine - 2011

This paper analyzes the dynamics of the US inflation time series using two classes of models: structural change models and long memory processes. For the first class, the Markov Switching Autoregressive (MS-AR) model of Hamilton (1989) and the Structural Change-Autoregressive (SCH-AR) model...

Persistent link: https://www.econbiz.de/10013128876