Details about Chaker Aloui

Access statistics for papers by Chaker Aloui.

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Short-id: pal451

Working Papers

2014

1. Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective
   Working Papers, Department of Research, Ipag Business School View citations (7)
2. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case
   Working Papers, Department of Research, Ipag Business School View citations (7)
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 View citations (7)
   See also Journal Article On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach, Applied Economics, Taylor & Francis Journals (2014) View citations (7) (2014)

2003

4. Interdépendance Et Co-Mouvements Des Marchés De Capitaux Des Pays Arabes De La Région Du Moyen Orient Et D’afrique Du Nord: Un Essai D’investigation Empirique
   Working Papers, Economic Research Forum
5. Long-Range Dependence in Daily Volatility on Tunisian Stock Market
   Working Papers, Economic Research Forum View citations (3)
6. Phénomène De Dépendance De Court Et De Long Terme De La Volatilité Des Cours De Change: Cas Du Marché Interbancaire Tunisien (Mars 1994- Mars 2004)
   Working Papers, Economic Research Forum

Journal Articles

2021

1. Are Islamic gold-backed cryptocurrencies different?
   Finance Research Letters, 2021, 39, (C) View citations (16)
2. Democratic transition, political risk, economic instability, and tourist inflows: The case of Tunisia
   Tourism Economics, 2021, 27, (5), 1157-1165 View citations (1)
3. How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile on quantile regressions
   International Review of Financial Analysis, 2021, 76, (C) View citations (20)
4. Oil-stock Nexus in an Oil-rich Country: Does Geopolitical Risk Matter in Terms of Investment Horizons?
   Defence and Peace Economics, 2021, 32, (4), 468-488 View citations (6)
5. On the investors' sentiments and the Islamic stock-bond interplay across investments' horizons
   Pacific-Basin Finance Journal, 2021, 65, (C) View citations (4)

2020

6. COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach
   International Review of Financial Analysis, 2020, 70, (C) View citations (476)
7. On the interplay between US sectoral CDS, stock and VIX indices: Fresh insights from wavelet approaches
   Finance Research Letters, 2020, 33, (C) View citations (16)
8. Spillovers across European sovereign credit markets and role of surprise and uncertainty
   Applied Economics, 2020, 52, (8), 851-865 View citations (5)

2019

9. Are Islamic bonds a good safe haven for stocks? Implications for portfolio management in a time-varying regime-switching copula framework
   Applied Economics, 2019, 51, (3), 219-238 View citations (9)

2018

10. A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia
    Emerging Markets Finance and Trade, 2018, 54, (4), 935-956 View citations (44)
11. Demand for audit quality in newly privatized firms in MENA region: Role of internal corporate governance mechanisms audit
    Research in International Business and Finance, 2018, 45, (C), 334-348 View citations (3)
12. Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis
    Physica A: Statistical Mechanics and its Applications, 2018, 506, (C), 337-349 View citations (12)
13. Information transmission across stock indices and stock index futures: International evidence using wavelet framework
    Research in International Business and Finance, 2018, 44, (C), 411-421 View citations (9)
14. Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View
    Computational Economics, 2018, 52, (2), 603-626 View citations (9)
15. Sectoral energy consumption by source and output in the U.S.: New evidence from wavelet-based approach
    Energy Economics, 2018, 72, (C), 75-96 View citations (17)
16. The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences
    International Review of Economics & Finance, 2018, 57, (C), 237-257 View citations (25)

2017

17. Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods
    Pacific-Basin Finance Journal, 2017, 43, (C), 124-150 View citations (54)

2016

18. Comparing Functional Link Artificial Neural Network And Multilayer Feedforward Neural Network Model To Forecast Crude Oil Prices
    Economics Bulletin, 2016, 36, (4), 2430-2442 View citations (1)
19. Emerging Equity Markets Connectedness, Portfolio Hedging Strategies and Effectiveness
    International Journal of Financial Research, 2016, 7, (2), 189-201
20. Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis
    Finance Research Letters, 2016, 19, (C), 54-59 View citations (29)
21. On interactions between remittance outflows and Saudi Arabian macroeconomy: New evidence from wavelets
    Economic Modelling, 2016, 59, (C), 32-45 View citations (13)
22. Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis
    Economic Modelling, 2016, 52, (PB), 322-331 View citations (16)
23. Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons
    Applied Economics, 2016, 48, (48), 4635-4654 View citations (7)
24. The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets
    International Economics, 2016, (146), 141-157 View citations (80)
    Also in International Economics, 2016, 146, (C), 141-157 (2016) View citations (68)

2015

25. 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 View citations (48)
26. 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 View citations (17)
27. 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 View citations (13)
28. 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 View citations (5)
29. Forecasting Crude Oil Price Using Artificial Neural Networks: A Literature Survey
    Economics Bulletin, 2015, 35, (2), 1339-1359 View citations (9)
30. 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 View citations (37)
31. Measuring Risk of Portfolio: GARCH-Copula Model
    Journal of Economic Integration, 2015, 30, 172-205 View citations (3)
32. 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 View citations (2)
33. 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 View citations (26)
34. 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 View citations (11)
35. 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

2014

36. Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis
    Economic Modelling, 2014, 36, (C), 421-431 View citations (112)
37. 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 View citations (39)
38. 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 View citations (9)
39. On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach
    Applied Economics, 2014, 46, (22), 2611-2622 View citations (7)
    See also Working Paper On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach, Working Papers (2014) View citations (7) (2014)

2012

40. Assessing the impacts of oil price fluctuations on stock returns in emerging markets
    Economic Modelling, 2012, 29, (6), 2686-2695 View citations (115)
41. 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 View citations (48)
42. Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling
    Energy Economics, 2012, 34, (3), 828-841 View citations (110)
43. Financial Liberalization, Banking Crises and Economic Growth: The Case of South Mediterranean Countries
    Global Economy Journal, 2012, 12, (3), 22 View citations (4)
    Also in Global Economy Journal (GEJ), 2012, 12, (3), 1-22 (2012) View citations (4)

2011

44. 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 View citations (5)
45. Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case
    Economics Bulletin, 2011, 31, (1), 830-843 View citations (2)
46. Information flow between stock return and trading volume: the Tunisian stock market
    International Journal of Financial Services Management, 2011, 5, (1), 52-82 View citations (2)
47. 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 View citations (11)
48. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
    Emerging Markets Review, 2011, 12, (3), 272-292 View citations (111)

2010

49. 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 View citations (9)
50. The guarantee option against the construction cost overruns of nuclear power plant: Monte Carlo simulation approach
    International Journal of Business Continuity and Risk Management, 2010, 1, (3), 271-282 View citations (1)
51. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models
    Energy Policy, 2010, 38, (5), 2326-2339 View citations (116)
52. Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns
    Energy Policy, 2010, 38, (3), 1415-1435 View citations (116)

2009

53. Equity home bias: investors' sentiments and views
    International Journal of Behavioural Accounting and Finance, 2009, 1, (2), 167-178
54. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach
    Energy Economics, 2009, 31, (5), 789-799 View citations (166)

2007

55. Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
    Quantitative Finance, 2007, 7, (6), 669-685 View citations (40)

2005

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

Chapters

2017

1. Volatility forecasting, value- at- risk and expected shortfall estimations under the Basel II Accord in GCC shariah stocks
   Chapter 21 in Handbook of Empirical Research on Islam and Economic Life, 2017, pp 485-508