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Semiparametric generalized long-memory modeling of some mena stock market returns : a wavelet approach

Boubaker, Heni; Sghaier, Nadia - In: Economic modelling 50 (2015), pp. 254-265

Persistent link: https://www.econbiz.de/10011440563

Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach

Boubaker, Heni; Sghaier, Nadia - In: Journal of Banking & Finance 37 (2013) 2, pp. 361-377

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we...

Persistent link: https://www.econbiz.de/10010595280

Wavelet estimation of Gegenbauer processes : simulation and empirical application

Boubaker, Heni - In: Computational economics 46 (2015) 4, pp. 551-574

Persistent link: https://www.econbiz.de/10011478889

Wavelet estimation performance of fractional integrated processes with heavy-tails

Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498

Persistent link: https://www.econbiz.de/10012223642

A generalized ARFIMA model with smooth transition fractional integration parameter

Boubaker, Heni - In: Journal of time series econometrics 10 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011817682

A comparative study of the performance of estimating long-memory parameter using wavelet-based entropies

Boubaker, Heni - In: Computational economics 48 (2016) 4, pp. 693-731

Persistent link: https://www.econbiz.de/10011713102

Forecasting electricity spot price for Nord Pool market with a hybridk-factor GARMA-LLWNN model

Ben Amor, Souhir; Boubaker, Heni; Belkacem, Lotfi - In: Journal of Forecasting 37 (2018) 8, pp. 832-851

Persistent link: https://www.econbiz.de/10012082005

From oil to stock markets

Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133

Persistent link: https://www.econbiz.de/10011451684

Forecasting volatility for an optimal portfolio with stylized facts using copulas

Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012615046

Long-memory modeling and forecasting : evidence from the U.S. historical series of inflation

Boubaker, Heni; Canarella, Giorgio; Gupta, Rangan; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 289-310

Persistent link: https://www.econbiz.de/10012806531

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