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Details about Chaker Aloui

E-mail:
Homepage:http://www.ksu.edu.sa
Phone:+966 0558580605
Postal address:College of business administration , department of finance King said university
Workplace:Department of Economics, King Saud University, (more information at EDIRC)

Access statistics for papers by Chaker Aloui.

Last updated 2016-08-15. Update your information in the RePEc Author Service.

Short-id: pal451


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Working Papers

2014

  1. Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective
    Working Papers, Department of Research, Ipag Business School Downloads
  2. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case
    Working Papers, Department of Research, Ipag Business School Downloads View citations (3)
  3. On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach
    Working Papers, Department of Research, Ipag Business School Downloads View citations (2)
    See also Journal Article in Applied Economics (2014)

Journal Articles

2016

  1. Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis
    Economic Modelling, 2016, 52, (PB), 322-331 Downloads View citations (2)
  2. The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets
    International Economics, 2016, (146), 141-157 Downloads View citations (3)
    Also in International Economics, 2016, 146, (C), 141-157 (2016) Downloads View citations (3)

2015

  1. Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis
    Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 69-79 Downloads View citations (6)
  2. Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach
    Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 62-86 Downloads View citations (4)
  3. Environment degradation, economic growth and energy consumption nexus: A wavelet-windowed cross correlation approach
    Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 110-125 Downloads View citations (1)
  4. Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models
    Czech Journal of Economics and Finance (Finance a uver), 2015, 65, (1), 30-54 Downloads
  5. Forecasting Crude Oil Price Using Artificial Neural Networks: A Literature Survey
    Economics Bulletin, 2015, 35, (2), 1339-1359 Downloads View citations (1)
  6. Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries
    The North American Journal of Economics and Finance, 2015, 31, (C), 311-329 Downloads View citations (8)
  7. Measuring Risk of Portfolio: GARCH-Copula Model
    Journal of Economic Integration, 2015, 30, 172-205
  8. On the Interaction between the Crude Oil Market and the Macroeconomic Activity: How do the 2000s differ from the 70s?
    Journal of Applied Finance & Banking, 2015, 5, (6), 1 Downloads
  9. On the interplay between energy consumption, economic growth and CO2 emission nexus in the GCC countries: A comparative analysis through wavelet approaches
    Renewable and Sustainable Energy Reviews, 2015, 51, (C), 1737-1751 Downloads View citations (1)
  10. Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis
    Pacific-Basin Finance Journal, 2015, 34, (C), 121-135 Downloads View citations (2)
  11. Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework
    Afro-Asian Journal of Finance and Accounting, 2015, 5, (2), 160-192 Downloads

2014

  1. Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
    Economic Modelling, 2014, 36, (C), 421-431 Downloads View citations (30)
  2. Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 354-366 Downloads View citations (10)
  3. Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?
    The North American Journal of Economics and Finance, 2014, 29, (C), 349-380 Downloads View citations (2)
  4. On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach
    Applied Economics, 2014, 46, (22), 2611-2622 Downloads View citations (2)
    See also Working Paper (2014)

2012

  1. Assessing the impacts of oil price fluctuations on stock returns in emerging markets
    Economic Modelling, 2012, 29, (6), 2686-2695 Downloads View citations (40)
  2. Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 738-757 Downloads View citations (18)
  3. Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling
    Energy Economics, 2012, 34, (3), 828-841 Downloads View citations (33)
  4. Financial Liberalization, Banking Crises and Economic Growth: The Case of South Mediterranean Countries
    Global Economy Journal, 2012, 12, (3), 1-22 Downloads View citations (3)

2011

  1. Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market
    International Journal of Academic Research in Business and Social Sciences, 2011, 1, (2), 17-44 Downloads View citations (2)
  2. GARCH-class models estimations and value-at-risk analysis for exchange rate
    International Journal of Monetary Economics and Finance, 2011, 4, (3), 254-278 Downloads View citations (1)
  3. Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case
    Economics Bulletin, 2011, 31, (1), 830-843 Downloads View citations (1)
  4. Information flow between stock return and trading volume: the Tunisian stock market
    International Journal of Financial Services Management, 2011, 5, (1), 52-82 Downloads View citations (1)
  5. Latin American stock markets’ volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework
    Macroeconomics and Finance in Emerging Market Economies, 2011, 4, (2), 289-326 Downloads View citations (3)
  6. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
    Emerging Markets Review, 2011, 12, (3), 272-292 Downloads View citations (36)

2010

  1. One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market
    International Journal of Financial Services Management, 2010, 4, (2), 77-94 Downloads View citations (4)
  2. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
    Energy Policy, 2010, 38, (5), 2326-2339 Downloads View citations (50)
  3. Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns
    Energy Policy, 2010, 38, (3), 1415-1435 Downloads View citations (50)

2009

  1. Equity home bias: investors' sentiments and views
    International Journal of Behavioural Accounting and Finance, 2009, 1, (2), 167-178 Downloads
  2. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach
    Energy Economics, 2009, 31, (5), 789-799 Downloads View citations (78)

2007

  1. Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
    Quantitative Finance, 2007, 7, (6), 669-685 Downloads View citations (19)

2005

  1. Regime de change et croissance economique: une investigation empirique
    Economie Internationale, 2005, (104), 97-134 Downloads
 
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