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Long memory volatility in the stock market returns : evidence from the crisis in Hong Kong

Selmi, Nadhem; Hachicha, Nejib; Ajmi, Ahdi Noomen - In: The empirical economics letters : a monthly … 10 (2011) 3, pp. 269-280

Persistent link: https://www.econbiz.de/10009507371

Were oil price markets the source of credit crisis in European countries? : evidence using a VAR-MGARCH-DCC model

Selmi, Nadhem; Hachicha, Nejib - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 2, pp. 169-177

Persistent link: https://www.econbiz.de/10011286263

Testing for contagion of the subprime financial crisis under asymmetric dynamics

Selmi, Nadhem; Bouaziz, Meriam Chihi; Hachicha, Nejib; … - In: International journal of economics 7 (2013) 1, pp. 89-101

Persistent link: https://www.econbiz.de/10009764960

Islamic banks resilience during the 2008 financial crisis : modeling long-memory volatilities with leverage effect

Fakhfekh, Mohamed; Hachicha, Nejib - In: The IUP journal of applied finance : IJAF 22 (2016) 1, pp. 62-85

Persistent link: https://www.econbiz.de/10011536913

Return volatilities and contagion transmission between Islamic and conventional bankers throughout the subprime crisis : evidence from the DCC-MGARCH model

Fakhfekh, Mohamed; Hachicha, Nejib - In: International journal of managerial and financial accounting 6 (2014) 2, pp. 133-145

Persistent link: https://www.econbiz.de/10010483052

Islamic Banks’ Resilience During the 2008 Financial Crisis : Modeling Long-Memory Volatilities with Leverage Effect

Mohamed, Fakhfekh - 2016

This paper determines whether volatility shocks are more prevalent among conventional banks than Islamic banks. It further tests the effect of leverage on both the banking systems. The paper uses the Fractionally-Integrated Exponential (FIEGARCH) model in modeling volatility. This allows...

Persistent link: https://www.econbiz.de/10012991653

Dependency or contagion between the Islamic and conventional banking system : evidence from the FIEGARCH-EVT-copula model

Fakhfekh, Mohamed; Ben Salem, Marwa; Hachicha, Nejib - In: Journal for global business advancement : JGBA 11 (2018) 2, pp. 129-155

Persistent link: https://www.econbiz.de/10011979857