Similar Search Results

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

The Tunisian stock market index volatility : long memory vs. switching regime

Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging markets review 16 (2013), pp. 145-169

Persistent link: https://www.econbiz.de/10010243139

A time-varying copula approach for modelling dependency : new evidence from commodity and stock markets

Charfeddine, Lanouar; Benlagha, Noureddine - In: Journal of multinational financial management 37/38 (2016), pp. 168-189

Persistent link: https://www.econbiz.de/10011720305

Do oil producing countries offer international diversification benefits? : evidence from GCC countries

Mimouni, Karim; Charfeddine, Lanouar; Al-Azzam, Moh'd - In: Economic modelling 57 (2016), pp. 263-280

Persistent link: https://www.econbiz.de/10011646913

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

Are shocks on the returns and volatility of cryptocurrencies really persistent?

Charfeddine, Lanouar; Maouchi, Youcef - In: Finance research letters 28 (2019), pp. 423-430

Persistent link: https://www.econbiz.de/10012388358

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

An intra-cryptocurrency analysis of volatility connectedness and its determinants : evidence from mining coins, non-mining coins and tokens

Charfeddine, Lanouar; Benlagha, Noureddine; Ben … - In: Research in international business and finance 62 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10014247259

True or spurious long memory in volatility: Further evidence on the energy futures markets

Charfeddine, Lanouar - In: Energy Policy 71 (2014) C, pp. 76-93

The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced volatility models that allow for long memory and/or structural changes:...

Persistent link: https://www.econbiz.de/10010785102

The Tunisian stock market index volatility: Long memory vs. switching regime

Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging Markets Review 16 (2013) C, pp. 170-182

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel...

Persistent link: https://www.econbiz.de/10010682549