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Measure of financial risk using conditional extreme value copulas with EVT margins
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Journal of risk 11 (2008/09) 4, pp. 51-85
Persistent link: https://www.econbiz.de/10003881605
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Extreme Value Theory and Value at Risk : application to oil market
Marimoutou, Velayoudoum; Raggad, Bechir; Trabelsi, … - In: Energy economics 31 (2009) 4, pp. 519-530
Persistent link: https://www.econbiz.de/10003867804
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Fractionally integrated time varying GARCH model
Nasr, Adnen Ben; Boutahar, Mohamed; Trabelsi, Abdelwahed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 399-430
Persistent link: https://www.econbiz.de/10008649243
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Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 4 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009500227
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The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10009730450
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Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Economic modelling 38 (2014), pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
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Correlation asymmetry and implication on hedging
Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56
Persistent link: https://www.econbiz.de/10011862371