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On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM

Arouri, Mohamed El Hedi; Jawadi, Fredj - HAL - 2010

This article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model. Second, we study the structural breaks in the US risk premium. Finally, we...

Persistent link: https://www.econbiz.de/10008794355

Nonlinear modeling of oil and stock price dynamics: segmentation or time-varying integration?

AROURI, Mohamed E; JAWADI, Fredj; NGUYEN, Duc K - In: Economics Bulletin 32 (2012) 3, pp. 2481-2489

In this paper, we show the usefulness of the switching transition error correction model in reproducing the bilateral linkages between oil and stock markets over the last three decades. Our findings show that while linear models fail to apprehend significant relationships between oil and stock...

Persistent link: https://www.econbiz.de/10011278870

Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS

Arouri, Mohamed El Hédi; Jawadi, Fredj; Nguyen, Duc Khuong - In: Economic modelling 29 (2012) 3, pp. 884-893

Persistent link: https://www.econbiz.de/10009848560

Threshold linkages between volatility and trading volume : evidence from developed and emerging markets

Jawadi, Fredj; Ureche-Rangau, Loredana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 313-333

Persistent link: https://www.econbiz.de/10010118270

What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?

Arouri, Mohamed; Jawadi, Fredj; Nguyen, Duc Khuong - In: Journal of macroeconomics 36 (2013), pp. 175-187

Persistent link: https://www.econbiz.de/10010102182

Information technology sector and equity markets: an empirical investigation

Jawadi, Fredj; Jawadi, Nabila; Nguyen, Duc Khuong; … - In: Applied financial economics 23 (2013) 9, pp. 729-737

Persistent link: https://www.econbiz.de/10010107648

Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity

Jawadi, Fredj; Sousa, Ricardo M. - In: Economic modelling 32 (2013), pp. 507-515

Persistent link: https://www.econbiz.de/10010109590

Measuring time-varying equity risk premium in the context of financial crisis: do developed and emerging markets differ?

Ameur, Hachmi Ben; Gngn, Yacouba; Jawadi, Fredj - In: Applied economics letters 20 (2013) 18, pp. 1673-1677

Persistent link: https://www.econbiz.de/10010183082

Essay in dividend modelling and forecasting: does nonlinearity help?

Jawadi, Fredj - In: Applied financial economics 19 (2009) 16-18, pp. 1329-1344

Persistent link: https://www.econbiz.de/10008320861

Dynamique non-linéaire des marchés boursiers du G7 : une application des modèles STAR

Jawadi, Fredj; Koubbaa, Yosra - In: Finance : revue de l'Association Française de Finance 28 (2007) 1, pp. 29-74

Persistent link: https://www.econbiz.de/10009918919