This paper analyzes the effects of terrorist attacks on stock market. Especially, we investigate the impact of terrorist attacks produced in Tunisia on the Tunisian stock market. Considering the period from 11 May 2011 to 14 March 2016 and relying on an event study methodology, we find that the...

The main objective of this work is to study the relationship between monetary policy and financial markets. We applied a VECM to analyze the data over the period from January 2011 to December 2017. Results show an homogeneity in the reaction of some sectoral indexes to monetary policy. This...

This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in conditional variances and time varying...

This paper proposes an original framework based on nonlinear panel data models to study the empirical influence of the interest rate and the inflation rate on the non-life insurance premiums for fourteen developed countries over the period 1965-2008. More specifically, we apply the panel smooth...

In this paper, we propose a time-varying long memory model where the fractional integration parameter varies nonlinearly according to Smooth Transition Regressive (STR) model. To estimate the fractional integration parameter, we suggest a new estimation method based on wavelet approach. In...

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...