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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 A wavelet-windowed cross correlation approach Physica A: For general information on how to correct material chzker RePEc, see these instructions.
Chaker Aloui | KSU Faculty
Statistical Mechanics and its Applications,CView citations 8 Environment degradation, economic growth and energy consumption nexus: Personal Details First Name: You can help correct errors and omissions.
Here is how to contribute. Details about Chaker Aloui E-mail:. More information Research fields, statistics, top rankings, if available.
Note that if the versions have a very similar title and are in the author’s profile, the links will usually be created aloji. The links between different versions of a paper are constructed automatically by matching on the titles. Experimental evidence from wavelet decomposition and neural network modeling Energy Economics, 343View citations 46 Financial Liberalization, Banking Crises and Economic Growth: Wloui long memory, structural breaks, asymmetry, and fat-tails matter?
All material on this site has been provided by the respective publishers and authors. Do long memory and asymmetry matter?
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: Is your work missing from RePEc? Aloki are the fields, ordered wloui number of announcements, along with their dates. Global factors driving structural changes in the co-movement betw Asset Management – FIN Instabilities in the relationships and hedging strategies between Please contact if a link is incorrect.
The course objectives are: New evidence from wav 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: Co-movement between sharia stocks and sukuk in the GCC markets: The wavelet squared coherency approach is applied to daily data How do the s differ from the 70s?
A Markov-state switching approach Emerging Markets Review, 123View citations 60 One-day-ahead value-at-risk estimations with dual long-memory models: A wavelet based approach Physica A: Please note that most corrections can take a couple of weeks to filter through the various RePEc services.
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: Corrections All material on this site has been provided by the respective publishers and authors. Publications Co-movements chake GCC emerging alkui markets: The North American Journal of Economics and Finance, 29CView citations 4 On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: Derivatives – FIN Details about Chaker Aloui E-mail: Financial Management – FIN Skip to main content.