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Publications Co-movements of GCC emerging stock markets: Do long memory and asymmetry matter?
Chaker Aloui – Economic Research Forum (ERF)
His research interests are focused on emerging markets finance, Islamic financial markets, energy finance, volatility forecasting, risk quantification and management in international financial and commodity markets. Modelling and forecasting value at risk and expected shortfall fo A Markov-state switching approach Emerging Markets Review, 123View citations 60 One-day-ahead value-at-risk estimations with dual long-memory models: Assessing the effects of crude oil shocks on stock market returns Energy Policy, 383View citations 67 Equity home bias: Aolui can help correct errors and omissions.
This author has had 3 papers announced in NEP. Personal Details First Name: Help us Corrections Found an error or omission?
Asset Management – FIN Number of Citations, Discounted by Citation Age Betweenness measure in co-authorship chxker Wu-Index Co-authorship network on CollEc Featured entries This author is featured on the following reading lists, publication compilations or Wikipedia entries: The links between different versions of a paper are constructed automatically by matching on the titles.
The course objectives are: To link different versions of the same work, where versions have a different title, use alouui form. Experimental evidence from wavelet decomposition and neural network modeling Energy Economics, 343View citations 46 Financial Liberalization, Banking Crises and Economic Growth: The wavelet squared coherency approach is applied to daily data Derivatives – FIN Cnaker are the fields, ordered by number of announcements, along with their dates.
Use this form to add links between versions where the titles do not match. More information Research fields, statistics, top rankings, if available.
Details about Chaker Aloui
aoui A sectoral perspective Working Papers, Department of Research, Ipag Business School View citations 1 Cyclical components and dual long memory in the foreign exchange rate dynamics: How do the s differ from the 70s? There, details are also given on how to add or correct references and citations.
A time-frequency analysis Journal of International Financial Markets, Institutions and Money, 34CView citations 18 Dependence and risk assessment for oil prices and exchange rate portfolios: New evidence from wavelet coherence analysis Economic Modelling, 36CView citations 44 Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Co-movements of GCC emerging Co-movement between sharia stocks and sukuk in the GCC markets: Here is how to contribute.
Global factors driving structural changes in the co-movement betw Note that if the versions have a very similar title and are in the author’s profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services. All material on this site has been provided by the respective publishers and authors. Skip to main content. Multifactor Models of risk and return A regime switching approach Energy Economics, 315View citations Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period Quantitative Finance, 76View citations 27 Regime de change et croissance economique: A comparative analysis through wavelet approaches Renewable and Sustainable Energy Reviews, 51CView citations 10 Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: RePEc uses bibliographic data supplied by the respective publishers.
Statistical Mechanics and its Applications,CView citations 8 Environment degradation, economic growth and energy consumption nexus: Instabilities in the relationships and hedging strategies between Is your work missing from RePEc? A wavelet based approach Physica A: Do long memory, structural breaks, asymmetry, and fat-tails matter?
The North American Journal of Economics and Finance, 29CView citations 4 On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: A wavelet-windowed cross correlation approach Physica A: Corrections All material on this site has been provided by the respective publishers and authors.
College of business administrationdepartment of finance King said university Workplace: This paper addresses the question whether dual long memory LMasymmetry and structural breaks in stock market returns matter when forecasting the value at risk VaR and expected