Details about Christian de Peretti

Access statistics for papers by Christian de Peretti.

Last updated 2025-11-06. Update your information in the RePEc Author Service.

Short-id: pde507

Working Papers

2025

1. Are stock markets efficient with respect to the Google search volume index? A robustness check of the literature studies
   Post-Print, HAL

2024

2. Forecasting reserve risk for temporal dependent losses in insurance
   Post-Print, HAL
   See also Journal Article Forecasting reserve risk for temporal dependent losses in insurance, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2025) (2025)
3. Machine learning based methods for ratemaking health care insurance
   Post-Print, HAL
4. The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?
   Post-Print, HAL
   See also Journal Article The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?, International Review of Financial Analysis, Elsevier (2024) (2024)

2023

5. Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty
   Post-Print, HAL
   See also Journal Article Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty, Empirical Economics, Springer (2023) (2023)
6. Investor behavior in the currency option market during the COVID-19 pandemic
   Post-Print, HAL View citations (3)
   See also Journal Article Investor behavior in the currency option market during the COVID-19 pandemic, The Journal of Economic Asymmetries, Elsevier (2023) View citations (4) (2023)
7. Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis
   Post-Print, HAL
   See also Journal Article Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis, The Quarterly Review of Economics and Finance, Elsevier (2023) (2023)
8. Pricing of European currency options considering the dynamic information costs
   Post-Print, HAL View citations (3)
   See also Journal Article Pricing of European currency options considering the dynamic information costs, Global Finance Journal, Elsevier (2023) View citations (6) (2023)

2022

9. Does economic policy uncertainty matter for the co-movements between precious metals and BRICS stock markets: A cross-quantilogram approach
   Working Papers, HAL
10. How Do Macroeconomic Variables Volatilities Affect Stock Markets Dynamics? Evidence From MENA Zone
    Post-Print, HAL
11. On the Measurement and Extent of Banks’ Political Connection in the Middle East and North Africa Region
    Post-Print, HAL
    See also Journal Article On the Measurement and Extent of Banks’ Political Connection in the Middle East and North Africa Region, Comparative Economic Studies, Palgrave Macmillan (2022) View citations (1) (2022)
12. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market
    Post-Print, HAL

2021

13. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
    Post-Print, HAL View citations (11)
    Also in Post-Print, HAL (2021) View citations (2)
    See also Journal Article Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches, Resources Policy, Elsevier (2021) View citations (12) (2021)

2020

14. Dynamics and causality in distribution between spot and future precious metals: A copula approach
    Post-Print, HAL
    Also in Post-Print, HAL (2020)
    See also Journal Article Dynamics and causality in distribution between spot and future precious metals: A copula approach, Resources Policy, Elsevier (2020) View citations (18) (2020)
15. Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models
    Post-Print, HAL
16. Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches
    Working Papers, HAL View citations (2)

2019

17. Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries
    Post-Print, HAL View citations (3)
    Also in Working Papers, HAL (2017) View citations (1)
    See also Journal Article Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries, Journal of Management & Governance, Springer (2019) View citations (7) (2019)
18. International risk spillover in the sovereign credit markets: An empirical analysis
    Post-Print, HAL View citations (2)
19. Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach
    Post-Print, HAL
    See also Journal Article Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach, Research in International Business and Finance, Elsevier (2019) View citations (6) (2019)
20. On the informational market efficiency of the worldwide Sovereign Credit Default Swaps
    Post-Print, HAL
21. PCN214 COST-EFFECTIVENESS ANALYSIS OF NIVOLUMAB IN COMBINATION WITH IPILIMUMAB VERSUS SUNITINIB FOR THE FIRST-LINE TREATMENT OF INTERMEDIATE- TO POOR-RISK ADVANCED RENAL CELL CARCINOMA IN FRANCE
    Post-Print, HAL
22. The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic
    Working Papers, HAL View citations (4)

2018

23. A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier
    Post-Print, HAL
    Also in Post-Print, HAL (2015) View citations (1)
24. Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis
    Post-Print, HAL
25. Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    Post-Print, HAL View citations (7)
    Also in Post-Print, HAL (2016)
    See also Journal Article Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Annals of Operations Research, Springer (2018) View citations (9) (2018)
26. The Credit Default Swap market contagion during recent crises: International evidence
    Post-Print, HAL View citations (2)
    Also in Post-Print, HAL (2018)
    See also Journal Article The Credit Default Swap market contagion during recent crises: international evidence, Review of Quantitative Finance and Accounting, Springer (2019) View citations (5) (2019)
27. The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region
    Working Papers, HAL

2017

28. Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model
    Post-Print, HAL
29. Do political connections affect banks' leverage? Evidence from some MENA countries
    Post-Print, HAL
30. Reserve modelling and the aggregation of risks using time varying copula models
    Post-Print, HAL
    Also in Post-Print, HAL (2017) View citations (3)
31. The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2017) View citations (1)

2016

32. A cost-effectiveness analysis of the ZIRA test in breast cancer
    Post-Print, HAL
33. Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization
    Working Papers, HAL View citations (1)
    Also in Working Papers, HAL (2016) View citations (1)
34. DOES DERIVATIVE INSTRUMENTS USE INCREASE ACCOUNTING PERFORMANCE OF BANKS IN EMERGING AND RECENTLY DEVELOPED COUNTRIES?
    Post-Print, HAL
    Also in Post-Print, HAL (2016) View citations (1)
35. Predictive models to estimate utility from clinical questionnaires in ă schizophrenia: findings from EuroSC
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
36. Pricing Perpetual Turbo-Warrants
    Post-Print, HAL
37. Solvency capital requirement for a temporal dependent losses in insurance
    Post-Print, HAL View citations (4)
    Also in Post-Print, HAL (2016) View citations (1)

2015

38. Effect of the Use of Derivative Instruments on Stock Returns:Evidence from Banks in Emerging and Recently Developed Countries
    Post-Print, HAL
39. Le traitement de l’incertitude dans les évaluations médico-économiques
    Post-Print, HAL
40. Median-Based Nonparametric Estimation of Returns in Mean-Down Side Risk Portfolio Frontier
    Post-Print, HAL View citations (1)
41. The Effect of Derivative Instrument Use on stock return performance: Evidence from Banks in Emerging and Recently Developed Countries
    Post-Print, HAL

2014

42. Effect of the Use of Derivative Instruments on Bank’s Performance: Evidence from Emerging and Recently Developed Countries
    Post-Print, HAL

2013

43. Cost Effectiveness of Pegfilgrastim Versus Filgrastim After High-Dose Chemotherapy and Autologous Stem Cell Transplantation in Patients with Lymphoma and Myeloma
    Post-Print, HAL
44. Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries
    Post-Print, HAL
    See also Journal Article Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries, Annals of Economics and Finance, Society for AEF (2013) View citations (1) (2013)

2012

45. IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON‐LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON‐OECD COUNTRIES*
    Post-Print, HAL
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (1)
    See also Journal Article IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES, Manchester School, University of Manchester (2013) View citations (11) (2013)

2011

46. A Nonlinear Panel Unit Root Test under Cross Section Dependence
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (16)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) View citations (12)
    Working Papers, Business School - Economics, University of Glasgow (2009) View citations (14)
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2007) View citations (3)
    Working Papers, Business School - Economics, University of Glasgow (2011) View citations (15)
47. Pegfilgrastim versus Filgrastim after high-dose chemotherapy and autologous stem cell transplantation in adult patients with lymphoma and myeloma: cost-effectiveness evaluation alongside a randomized controlled trial
    Post-Print, HAL

2010

48. A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010)

2009

49. A strong hysteretic model of Okun's Law: Theory and a preliminary investigation
    Post-Print, HAL View citations (11)
    Also in Post-Print, HAL (2009) View citations (18)
    See also Journal Article A strong hysteretic model of Okun's Law: theory and a preliminary investigation, International Review of Applied Economics, Taylor & Francis Journals (2009) View citations (27) (2009)

2008

50. Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne
51. Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne
52. Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries
    Working Papers, Business School - Economics, University of Glasgow View citations (3)

2007

53. Long Memory and Hysteresis
    Post-Print, HAL

2006

54. Bootstrapping Neural tests for conditional heteroskedasticity
    Computing in Economics and Finance 2006, Society for Computational Economics
55. Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory
    Computing in Economics and Finance 2006, Society for Computational Economics

2004

56. Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
    Post-Print, HAL
    See also Journal Article Neural Tests for Conditional Heteroskedasticity in ARCH-M Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2004) View citations (1) (2004)
57. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (7)

2003

58. Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market
    Post-Print, HAL View citations (1)
    See also Journal Article Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market, Computational Economics, Springer (2003) View citations (10) (2003)

2002

59. unilateral and bilateral bootstrap tests for long memory
    Computing in Economics and Finance 2002, Society for Computational Economics

Journal Articles

2025

1. Forecasting reserve risk for temporal dependent losses in insurance
   International Journal of Finance & Economics, 2025, 30, (3), 2254-2269
   See also Working Paper Forecasting reserve risk for temporal dependent losses in insurance, Post-Print (2024) (2024)

2024

2. The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?
   International Review of Financial Analysis, 2024, 95, (PC)
   See also Working Paper The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?, Post-Print (2024) (2024)

2023

3. Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty
   Empirical Economics, 2023, 65, (3), 1105-1127
   See also Working Paper Extreme severity modeling using a GLM-GPD combination: application to an excess of loss reinsurance treaty, Post-Print (2023) (2023)
4. Investor behavior in the currency option market during the COVID-19 pandemic
   The Journal of Economic Asymmetries, 2023, 28, (C) View citations (4)
   See also Working Paper Investor behavior in the currency option market during the COVID-19 pandemic, Post-Print (2023) View citations (3) (2023)
5. Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis
   The Quarterly Review of Economics and Finance, 2023, 89, (C), 298-306
   See also Working Paper Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis, Post-Print (2023) (2023)
6. Pricing of European currency options considering the dynamic information costs
   Global Finance Journal, 2023, 58, (C) View citations (6)
   See also Working Paper Pricing of European currency options considering the dynamic information costs, Post-Print (2023) View citations (3) (2023)

2022

7. On the Measurement and Extent of Banks’ Political Connection in the Middle East and North Africa Region
   Comparative Economic Studies, 2022, 64, (4), 606-645 View citations (1)
   See also Working Paper On the Measurement and Extent of Banks’ Political Connection in the Middle East and North Africa Region, Post-Print (2022) (2022)

2021

8. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
   Resources Policy, 2021, 73, (C) View citations (12)
   See also Working Paper Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches, Post-Print (2021) View citations (11) (2021)

2020

9. Dynamics and causality in distribution between spot and future precious metals: A copula approach
   Resources Policy, 2020, 66, (C) View citations (18)
   See also Working Paper Dynamics and causality in distribution between spot and future precious metals: A copula approach, Post-Print (2020) (2020)
10. The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa
    Research in International Business and Finance, 2020, 53, (C) View citations (5)

2019

11. Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries
    Journal of Management & Governance, 2019, 23, (4), 989-1006 View citations (7)
    See also Working Paper Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries, Post-Print (2019) View citations (3) (2019)
12. Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach
    Research in International Business and Finance, 2019, 50, (C), 106-133 View citations (6)
    See also Working Paper Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach, Post-Print (2019) (2019)
13. The Credit Default Swap market contagion during recent crises: international evidence
    Review of Quantitative Finance and Accounting, 2019, 53, (1), 1-46 View citations (5)
    See also Working Paper The Credit Default Swap market contagion during recent crises: International evidence, Post-Print (2018) View citations (2) (2018)

2018

14. Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    Annals of Operations Research, 2018, 262, (2), 653-681 View citations (9)
    See also Working Paper Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Post-Print (2018) View citations (7) (2018)

2013

15. Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries
    Annals of Economics and Finance, 2013, 14, (1), 169-178 View citations (1)
    See also Working Paper Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries, Post-Print (2013) (2013)
16. IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES
    Manchester School, 2013, 81, (1), 102-120 View citations (11)
    See also Working Paper IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON‐LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON‐OECD COUNTRIES*, Post-Print (2012) (2012)

2012

17. Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach
    Journal of Empirical Finance, 2012, 19, (1), 162-174 View citations (59)

2010

18. Graphical methods for investigating the finite-sample properties of confidence regions
    Computational Statistics & Data Analysis, 2010, 54, (2), 262-271 View citations (2)

2009

19. A strong hysteretic model of Okun's Law: theory and a preliminary investigation
    International Review of Applied Economics, 2009, 23, (4), 445-462 View citations (27)
    See also Working Paper A strong hysteretic model of Okun's Law: Theory and a preliminary investigation, Post-Print (2009) View citations (11) (2009)

2007

20. Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
    Computational Statistics & Data Analysis, 2007, 51, (5), 2442-2460 View citations (2)

2004

21. Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (3), 24 View citations (1)
    See also Working Paper Neural Tests for Conditional Heteroskedasticity in ARCH-M Models, Post-Print (2004) (2004)

2003

22. Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market
    Computational Economics, 2003, 22, (2), 187-212 View citations (10)
    See also Working Paper Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market, Post-Print (2003) View citations (1) (2003)