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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

Persistent link: https://www.econbiz.de/10009705653

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

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

Nonlinear cointegration relationships between non-life insurance premiums and financial markets

Jawadi, Fredj; Bruneau, Catherine; Sghaier, Nadia - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 753-783

Persistent link: https://www.econbiz.de/10003877884

Cyclicity in the French property-liability insurance industry : new findings over the recent period

Bruneau, Catherine; Sghaier, Nadia - In: The journal of risk and insurance : the journal of the … 82 (2015) 2, pp. 433-462

Persistent link: https://www.econbiz.de/10011393000

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent economics & finance 11 (2023) 1, pp. 1-28

This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...

Persistent link: https://www.econbiz.de/10014500850

Interdependence between exchange rates : evidence from multivariate fractional cointegration

Boubaker, Heni; Belkacem, Lotfi - In: International journal of business 15 (2010) 3, pp. 255-270

Persistent link: https://www.econbiz.de/10003993686