Details about Christian de Peretti

Access statistics for papers by Christian de Peretti.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pde507

Working Papers

2022

1. Does economic policy uncertainty matter for the co-movements between precious metals and BRICS stock markets: A cross-quantilogram approach
   Working Papers, HAL
2. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market
   Post-Print, HAL

2021

3. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
   Post-Print, HAL View citations (9)
   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 (10) (2021)

2020

4. 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 (1)

2019

5. International risk spillover in the sovereign credit markets: An empirical analysis
   Post-Print, HAL View citations (2)
6. On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap
   Post-Print, HAL
7. The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic
   Working Papers, HAL View citations (4)

2018

8. 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)
9. Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis
   Post-Print, HAL
10. Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    Post-Print, HAL View citations (7)
    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)
11. The Credit Default Swap market contagion during recent crises: International evidence
    Post-Print, HAL View citations (2)
    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)
12. The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region
    Working Papers, HAL

2017

13. Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model
    Post-Print, HAL
14. Do political connections affect banks' leverage? Evidence from some MENA countries
    Post-Print, HAL
15. Do political connections affect banks' leverage? Evidence from some Middle Eastern and North African countries
    Working Papers, HAL 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 (4) (2019)
16. The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan
    Post-Print, HAL
17. “Reserve modelling and the aggregation of risks using time varying copula models
    Post-Print, HAL View citations (3)

2016

18. A cost-effectiveness analysis of the ZIRA test in breast cancer
    Post-Print, HAL
19. 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)
20. Does derivative instruments use increase accounting performance of banks in emerging and recently developed countries
    Post-Print, HAL View citations (1)
21. Predictive models to estimate utility from clinical questionnaires in ă schizophrenia: findings from EuroSC
    Post-Print, HAL
22. Pricing Perpetual Turbo-Warrants
    Post-Print, HAL
23. Solvency capital requirement for a temporal dependent losses in insurance
    Post-Print, HAL View citations (3)

2015

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

2014

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

2011

28. 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 (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)
    Working Papers, Business School - Economics, University of Glasgow (2008) View citations (12)
29. 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

30. 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

31. A strong hysteretic model of Okun's Law: Theory and a preliminary investigation
    Post-Print, HAL View citations (10)
    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 (26) (2009)

2008

32. 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
33. 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
34. 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)
35. Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 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)

2006

36. Bootstrapping Neural tests for conditional heteroskedasticity
    Computing in Economics and Finance 2006, Society for Computational Economics
37. 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

38. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (7)

2002

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

Journal Articles

2023

1. Investor behavior in the currency option market during the COVID-19 pandemic
   The Journal of Economic Asymmetries, 2023, 28, (C) View citations (2)
2. 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
3. Pricing of European currency options considering the dynamic information costs
   Global Finance Journal, 2023, 58, (C) View citations (5)

2021

4. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
   Resources Policy, 2021, 73, (C) View citations (10)
   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 (9) (2021)

2020

5. Dynamics and causality in distribution between spot and future precious metals: A copula approach
   Resources Policy, 2020, 66, (C) View citations (18)
6. 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 (3)

2019

7. 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 (4)
   See also Working Paper Do political connections affect banks' leverage? Evidence from some Middle Eastern and North African countries, Working Papers (2017) View citations (1) (2017)
8. 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 (5)
9. 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

10. 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

11. 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)
12. 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 nonlinear panel unit root tests for OECD and non-OECD countries, SIRE Discussion Papers (2008) View citations (1) (2008)

2012

13. 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

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

2009

15. 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 (26)
    See also Working Paper A strong hysteretic model of Okun's Law: Theory and a preliminary investigation, Post-Print (2009) View citations (10) (2009)

2007

16. 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

17. Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (3), 24 View citations (1)

2003

18. Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market
    Computational Economics, 2003, 22, (2), 187-212 View citations (9)