Details about Walid Chkili

Access statistics for papers by Walid Chkili.

Last updated 2021-12-28. Update your information in the RePEc Author Service.

Short-id: pch1017

Working Papers

2019

1. An artificial neural network augmented GARCH model for Islamic stock market volatility: Do asymmetry and long memory matter?
   Working Papers, Economic Research Forum

2015

2. Gold-oil prices co-movements and portfolio diversification implications
   MPRA Paper, University Library of Munich, Germany View citations (5)

2014

3. Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
   Working Papers, Department of Research, Ipag Business School View citations (111)
   See also Journal Article Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries, Research in International Business and Finance, Elsevier (2014) View citations (108) (2014)
4. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
   Working Papers, Department of Research, Ipag Business School View citations (192)
   Also in Working Papers, Department of Research, Ipag Business School (2014) View citations (193)
   See also Journal Article Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory, Energy Economics, Elsevier (2014) View citations (181) (2014)

2013

5. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models
   Working Papers, Department of Research, Ipag Business School View citations (8)

Journal Articles

2021

1. Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold
   Resources Policy, 2021, 74, (C) View citations (22)
2. Modeling Bitcoin price volatility: long memory vs Markov switching
   Eurasian Economic Review, 2021, 11, (3), 433-448 View citations (4)

2017

3. Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach
   Journal of Multinational Financial Management, 2017, 42-43, 152-163 View citations (23)

2016

4. Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries
   Research in International Business and Finance, 2016, 38, (C), 22-34 View citations (93)

2015

5. Gold–oil prices co-movements and portfolio diversification implications
   Economics Bulletin, 2015, 35, (4), 2832-2845 View citations (2)

2014

6. Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
   Research in International Business and Finance, 2014, 31, (C), 46-56 View citations (108)
   See also Working Paper Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries, Working Papers (2014) View citations (111) (2014)
7. 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 (45)
8. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
   Energy Economics, 2014, 41, (C), 1-18 View citations (181)
   See also Working Paper Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory, Working Papers (2014) View citations (192) (2014)

2012

9. 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 (49)
10. Is currency risk priced for emerging stock markets?
    Economics Bulletin, 2012, 32, (3), 2267-2280

2011

11. Modeling the volatility of Mediterranean stock markets: a regime-switching approach
    Economics Bulletin, 2011, 31, (2), 1105-1113 View citations (7)
12. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach
    Emerging Markets Review, 2011, 12, (3), 272-292 View citations (112)