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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

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

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

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

Persistent link: https://www.econbiz.de/10013272684

A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets

Boubaker, Heni; Raza, Syed Ali - In: Energy economics 64 (2017), pp. 105-117

Persistent link: https://www.econbiz.de/10011758081

Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach

Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110

Persistent link: https://www.econbiz.de/10011564809