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Assessing the intensity of US-Latin American market comovements and contagion effects in times of crisis

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 130-147

Persistent link: https://www.econbiz.de/10010338339

Understanding return and volatility spillovers among major agricultural commodities

Lahiani, Amine; Nguyen, Duc Khuong; Vo, Thierry - In: The journal of applied business research 29 (2013) 6, pp. 1781-1790

Persistent link: https://www.econbiz.de/10010229476

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

Long memory and structural breaks in modeling the return and volatility dynamics of precious metals

Arouri, Mohamed; Hammoudeh, Shawkat; Lahiani, Amine; … - In: The quarterly review of economics and finance : journal … 52 (2012) 2, pp. 207-218

Persistent link: https://www.econbiz.de/10009700518

Commodity price correlation and time varying hedge ratios

Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061

Persistent link: https://www.econbiz.de/10010400627

Volatility spillovers and macroeconomic announcements : evidence from crude oil markets

Belgacem, Aymen; Creti, Anna; Guesmi, Khaled; Lahiani, Amine - In: Applied economics 47 (2015) 28/30, pp. 2974-2984

Persistent link: https://www.econbiz.de/10011289395

Cross-market dynamics and optimal portfolio strategies in Latin American equity markets

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: European business review : EBR ; the official journal … 27 (2015) 2, pp. 161-181

Persistent link: https://www.econbiz.de/10011299632

Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period

Ghorbel, Ahmed; Fakhfekh, Mohamed; Jeribi, Ahmed; … - In: The journal of risk finance : JRF 23 (2022) 2, pp. 206-244

Persistent link: https://www.econbiz.de/10013370537

Modèls Garch à la mémoire longue: application aux taux de change tunisiens

Lahiani, Amine; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2007

This paper deals with statistics�and econometrics�properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in�nite decrease of volatility impact. Then, we apply it on three Tunisian...

Persistent link: https://www.econbiz.de/10008836445