Details about Mohamed Chikhi

Access statistics for papers by Mohamed Chikhi.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pch1609

Working Papers

2022

1. Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation
   Post-Print, HAL
   Also in Working Papers, Association Française de Cliométrie (AFC) (2021)
   Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg (2021)
   See also Journal Article Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation, Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University (2022) View citations (1) (2022)

2019

2. Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach
   Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg
3. Measuring Success: Does Predictive Ability of an Asset Price Rest in 'Memory'? Insights from a New Approach
   Working Papers, Association Française de Cliométrie (AFC)
4. Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model
   Working Papers, Association Française de Cliométrie (AFC)
   Also in Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg (2019)
5. Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors
   Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg
   Also in Working Papers, Association Française de Cliométrie (AFC) (2019)

2017

6. Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange
   (Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of stock exchange Orange prices)
   MPRA Paper, University Library of Munich, Germany
7. استخدام نماذج ARCH لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
   (Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study: Etihad Etisalat Saudi Arabia –)
   MPRA Paper, University Library of Munich, Germany

2014

8. اختبار العلاقة السببية والتكامل المشترك بين الادخار والاستثمار في الاقتصاد الجزائري خلال الفترة (1970ـ2011)
   (Causality and cointegration Testing between Savings and Investment in the Algerian Economy during (1970-2011))
   MPRA Paper, University Library of Munich, Germany
9. اختبار القدرة على التنبؤ بعوائد مؤشر سوق الدار البيضاء المالي من 2007 إلى 2011
   (Testing the Predictability of Casablanca Stock Exchange Returns (2007-2011))
   MPRA Paper, University Library of Munich, Germany

2013

10. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
    Post-Print, HAL View citations (1)
    Also in Working Papers, HAL (2012) View citations (2)
    AMSE Working Papers, Aix-Marseille School of Economics, France (2012) View citations (1)
    See also Journal Article SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence, Computational Economics, Springer (2013) View citations (1) (2013)
11. تحليل سلوك مبيعات الكهرباء الموجه للقطاع العائلي في ظل وجود التقلبات الموسمية باستخدام نماذج SARIMA
    (Analyzing the Cyclical Behavior of Electricity Sales in the Presence of Seasonal Fluctuations Using SARIMA Models)
    MPRA Paper, University Library of Munich, Germany

2012

12. Cyclical Mackey Glass Model for Oil Bull Seasonal
    MPRA Paper, University Library of Munich, Germany
    Also in Working Papers, LAMETA, Universtiy of Montpellier (2011)
13. MODELISATION SEMIFARMA-HYGARCH DE LA PERSISTANCE DU COURS DU DOW JONES
    Working Papers, LAMETA, Universtiy of Montpellier

2011

14. Analyse du choc informationnel et de l’hétéroscédasticité conditionnelle dans les flux de trésorerie
    (Analysis of informational shock and conditional heteroscedasticity in cash flows)
    MPRA Paper, University Library of Munich, Germany

2010

15. Rare Events in the American GDP Time Series, 1790-Present: Fact or Artefact
    MPRA Paper, University Library of Munich, Germany

2009

16. Identification non paramétrique d’un processus non linéaire hétéroscédastique
    (Nonparametric identification of heteroscedastic nonlinear process)
    MPRA Paper, University Library of Munich, Germany

2008

17. تقدير دالة الادخار العائلي في الجزائر 1970-2005
    (Estimating the household saving function in Algeria 1970-2005)
    MPRA Paper, University Library of Munich, Germany

2006

18. L'efficience du marché boursier parisien: une analyse cliométrique et non paramétrique du temps présent
    Post-Print, HAL
    See also Journal Article L'efficience du marché boursier parisien: une analyse cliométrique et non paramétrique du temps présent, Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC) (2006) (2006)
19. Nonparametric Analysis of Financial Time Series by the Kernel Methodology
    Working Papers, Association Française de Cliométrie (AFC)
    See also Journal Article Nonparametric analysis of financial time series by the Kernel methodology, Quality & Quantity: International Journal of Methodology, Springer (2010) View citations (3) (2010)

2003

20. Un essai de prévision non paramétrique de l'action France Télécom
    (A nonparametric prediction test of the France Telecom stock proces)
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2022

1. Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation
   Eastern Journal of European Studies, 2022, 13(1), 228-253 View citations (1)
   See also Working Paper Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation, Post-Print (2022) (2022)

2019

2. Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory
   Eastern Journal of European Studies, 2019, 10(2), 221-248

2018

3. Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology
   Journal of Economics and Financial Analysis, 2018, 2, (2), 105-120 View citations (7)

2017

4. Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors
   Asian Journal of Economic Modelling, 2017, 5, (4), 413-430 View citations (3)

2014

5. Persistance des chocs de volatilité et le marché boursier: modélisation SEMIFARMA-FIGARCH
   Economies et Sociétés (Serie 'Histoire Economique Quantitative'), 2014, (49), 1357-1376
6. The Dynamic Relationship between Oil and Wheat Markets
   Applied Economics and Finance, 2014, 1, (1), 116-126 View citations (1)

2013

7. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
   Computational Economics, 2013, 41, (2), 249-265 View citations (1)
   See also Working Paper SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence, Post-Print (2013) View citations (1) (2013)

2010

8. Nonparametric analysis of financial time series by the Kernel methodology
   Quality & Quantity: International Journal of Methodology, 2010, 44, (5), 865-880 View citations (3)
   See also Working Paper Nonparametric Analysis of Financial Time Series by the Kernel Methodology, Working Papers (2006) (2006)

2009

9. The Reichsbank: a nonparametric modelling of historical time series
   Applied Economics Letters, 2009, 16, (14), 1409-1414 View citations (1)
10. Transitory exogenous shocks in a non-linear framework: application to the cyclical behaviour of the German aggregate wage earnings
    Historical Social Research (Section 'Cliometrics'), 2009, 34, (1), 354-366 View citations (6)

2006

11. L'efficience du marché boursier parisien: une analyse cliométrique et non paramétrique du temps présent
    Economies et Sociétés (Serie 'Histoire Economique Quantitative'), 2006, (34), 171-192
    See also Working Paper L'efficience du marché boursier parisien: une analyse cliométrique et non paramétrique du temps présent, Post-Print (2006) (2006)