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Details about Fredj JAWADI

E-mail:
Homepage:https://sites.google.com/site/wwwfredjjawadicom/
Postal address:University of Evry Val d'Essonne 2, rue Facteur Cheval, Baîtment La Poste, Bureau 226 Evry 91025, France
Workplace:EconomiX, Université Paris-Nanterre (Paris X) (University of Paris-Nanterre), (more information at EDIRC)

Access statistics for papers by Fredj JAWADI.

Last updated 2021-10-05. Update your information in the RePEc Author Service.

Short-id: pfr45


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Working Papers

2020

  1. Causal Relationships Between Inflation and Inflation Uncertainty
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2020) Downloads
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2018) Downloads View citations (3)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)
  2. Unconventional monetary policy reaction functions: evidence from the US
    Post-Print, HAL Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2020)

2019

  1. The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies
    Post-Print, HAL
    See also Journal Article in International Economics (2019)
  2. Understanding Oil Price Dynamics and their Effects over Recent Decades: An Interview with James Hamilton
    Post-Print, HAL View citations (1)

2018

  1. A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures
    Working Papers, University of Liverpool, Department of Economics Downloads
    See also Journal Article in Econometric Reviews (2020)
  2. A model of fiscal dominance under the “Reinhart Conjecture”
    Post-Print, HAL View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2018)
  3. An interview with Timo Teräsvirta
    Post-Print, HAL View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
  4. Analyzing the governance structure of French banking groups
    Post-Print, HAL
    See also Journal Article in Research in International Business and Finance (2018)
  5. Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
    Post-Print, HAL
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
  6. Recent developments in macro-econometric modeling: theory and applications
    Post-Print, HAL
    See also Journal Article in Econometrics (2018)
  7. The Nonlinear Relationship between Economic growth and Financial Development
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads

2017

  1. Assessing financial and housing wealth effects through the lens of a nonlinear framework
    Post-Print, HAL View citations (2)
    See also Journal Article in Research in International Business and Finance (2017)
  2. Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in The North American Journal of Economics and Finance (2021)
  3. Equity prices and fundamentals: a DDM–APT mixed approach
    Post-Print, HAL
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2015) Downloads View citations (2)
    Working Papers, Department of Research, Ipag Business School (2015) Downloads

    See also Journal Article in Review of Quantitative Finance and Accounting (2017)
  4. Introduction: recent developments of switching models for financial data
    Post-Print, HAL View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
  5. On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (3)
    See also Journal Article in Economic Modelling (2016)

2016

  1. Advances and challenges in decision-making, monetary policy and financial markets
    Post-Print, HAL View citations (1)
    See also Journal Article in Economic Modelling (2016)
  2. Intraday jumps and trading volume: a nonlinear Tobit specification
    Post-Print, HAL View citations (2)
    See also Journal Article in Review of Quantitative Finance and Accounting (2016)

2014

  1. Does Islamic Finance Outperform Conventional Finance ? Further Evidence from the recent financial crisis
    Working Papers, Department of Research, Ipag Business School Downloads View citations (14)
  2. Market microstructure and nonlinear dynamics: keeping financial crisis in context
    Post-Print, HAL View citations (1)
    Also in Grenoble Ecole de Management (Post-Print), HAL (2014)

2013

  1. Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations
    Post-Print, HAL View citations (30)
    Also in Grenoble Ecole de Management (Post-Print), HAL (2013) View citations (1)

    See also Journal Article in Applied Economics (2013)
  2. Computational tools in econometric modeling for macroeconomics and finance
    Post-Print, HAL
    Also in Grenoble Ecole de Management (Post-Print), HAL (2013)

    See also Journal Article in Economic Modelling (2013)
  3. Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis
    Post-Print, HAL
    Also in Grenoble Ecole de Management (Post-Print), HAL (2013)

    See also Journal Article in Applied Economics Letters (2013)
  4. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?
    Grenoble Ecole de Management (Post-Print), HAL View citations (3)
    Also in Working Papers, HAL (2010) Downloads
    Post-Print, HAL (2013) View citations (3)

    See also Journal Article in Journal of Macroeconomics (2013)

2012

  1. Arbitrage Costs and Nonlinear Stock Price Adjustment in the G7 Countries
    Post-Print, HAL View citations (9)
  2. Are hedge fund clones attractive financial products for investors
    Post-Print, HAL
    See also Journal Article in Applied Economics Letters (2012)
  3. Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation
    NIPE Working Papers, NIPE - Universidade do Minho Downloads
  4. Evolution of the US Stock Market Risk Premium in Periods of Crisis
    Post-Print, HAL
  5. Introduction to Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads
  6. Modelling Hedge Fund Exposure to Risk Factors
    Post-Print, HAL View citations (6)
    See also Journal Article in Economic Modelling (2012)
  7. Modelling Money Demand: Further Evidence from an International Comparison
    NIPE Working Papers, NIPE - Universidade do Minho Downloads
    See also Journal Article in Applied Economics Letters (2013)
  8. Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (1)
    See also Journal Article in Economic Modelling (2013)
  9. Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
    Post-Print, HAL View citations (9)
    See also Journal Article in Economic Modelling (2012)
  10. Sources d'inefficience et ajustement asymétrique des cours boursiers
    Post-Print, HAL
  11. Structural Breaks and Nonlinearity in US and UK Public Debt
    NIPE Working Papers, NIPE - Universidade do Minho Downloads
    See also Journal Article in Applied Economics Letters (2013)

2011

  1. Arbitrage Costs and Nonlinear Adjustment in the G7 Stock Markets
    Post-Print, HAL Downloads
    See also Journal Article in Applied Economics (2012)
  2. Can information and communication technologies improve the performance of microfinance programs? Further evidence from developing and emergent financial markets
    Post-Print, HAL
  3. Does islamic finance outperform conventional finance? Further evidence from an international comparison
    Post-Print, HAL
  4. Fiscal Policy in the BRICs
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (7)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2014)
  5. Monetary Policy Rules in the BRICS: How Important is Nonlinearity?
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (4)
  6. Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
    Post-Print, HAL View citations (1)
    See also Chapter (2011)

2010

  1. Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions
    Working Papers, HAL Downloads View citations (8)
    See also Journal Article in Applied Financial Economics (2010)
  2. Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads View citations (1)
  3. On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2010)
  4. Synchronization and nonlinear interdependence of short-term interest rates
    Working Papers, HAL Downloads

2009

  1. Nonlinear Stock Price Adjustment in the G7 Countries
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (14)
    Also in Working Papers, HAL (2007) Downloads View citations (1)
  2. Stock market integration in the Latin American markets: further evidence from nonlinear modeling
    Post-Print, HAL Downloads View citations (6)
    Also in Papers, arXiv.org (2009) Downloads View citations (5)

    See also Journal Article in Economics Bulletin (2009)
  3. Threshold cointegration relationships between oil and stock markets
    Discussion Papers of Business and Economics, University of Southern Denmark, Department of Business and Economics Downloads View citations (4)

2008

  1. Are American and French Stok Markets Integrated?
    Post-Print, HAL View citations (1)
    See also Journal Article in The International Journal of Business and Finance Research (2008)
  2. Coûts de transaction, contagion, mimétisme et dynamique asymétriques des cours boursiers
    Post-Print, HAL
  3. Stock Market Integration in the Emerging Countries
    Post-Print, HAL View citations (7)

2006

  1. Coûts de transaction et dynamique non-linéaire des prix des actifs financiers: une note théorique
    EconomiX Working Papers, University of Paris Nanterre, EconomiX

2004

  1. Threshold Cointegration between Stock Returns: An application of STECM Models
    Econometrics, University Library of Munich, Germany Downloads View citations (3)

Journal Articles

2021

  1. Are oil and gas futures markets efficient? A multifractal analysis
    Applied Economics, 2021, 53, (2), 164-184 Downloads
  2. Does higher unemployment lead to greater criminality? Revisiting the debate over the business cycle
    Journal of Economic Behavior & Organization, 2021, 182, (C), 448-471 Downloads
  3. Does inequality help in forecasting equity premium in a panel of G7 countries?
    The North American Journal of Economics and Finance, 2021, 57, (C) Downloads View citations (1)
    See also Working Paper (2017)

2020

  1. A multifactor transformed diffusion model with applications to VIX and VIX futures
    Econometric Reviews, 2020, 39, (1), 27-53 Downloads
    See also Working Paper (2018)
  2. An interview with Howell Tong
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (5), 8 Downloads
  3. Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
    Economic Modelling, 2020, 88, (C), 200-210 Downloads
  4. Causal relationships between inflation and inflation uncertainty
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (5), 26 Downloads
    See also Working Paper (2020)
  5. Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns
    Computational Economics, 2020, 56, (1), 131-143 Downloads
  6. Does investor attention to Islamic finance create spillover?
    Applied Economics, 2020, 52, (59), 6448-6452 Downloads
  7. Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
    Econometric Reviews, 2020, 39, (1), 54-70 Downloads
  8. How does monetary policy respond to the dynamics of the shadow banking sector?
    International Journal of Finance & Economics, 2020, 25, (2), 228-247 Downloads
  9. Introduction to Topics in Modelling Financial and Macroeconomic Time Series
    Computational Economics, 2020, 56, (1), 1-3 Downloads
  10. The convergence of ethical investment business models and their reliance on the conventional US investment market
    Applied Economics, 2020, 52, (57), 6265-6276 Downloads
  11. Unconventional monetary policy reaction functions: evidence from the US
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 18 Downloads
    See also Working Paper (2020)
  12. Wavelet analysis of the conventional and Islamic stock market relationship ten years after the global financial crisis
    Applied Economics Letters, 2020, 27, (6), 466-472 Downloads View citations (2)

2019

  1. A statistical analysis of uncertainty for conventional and ethical stock indexes
    The Quarterly Review of Economics and Finance, 2019, 74, (C), 9-17 Downloads View citations (4)
  2. Computing stock price comovements with a three-regime panel smooth transition error correction model
    Annals of Operations Research, 2019, 274, (1), 331-345 Downloads View citations (1)
  3. Correction to: Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 5-5 Downloads
  4. Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?
    The Energy Journal, 2019, Volume 40, (Special Issue) Downloads View citations (2)
  5. Does the volatility of volatility risk forecast future stock returns?
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 16-36 Downloads View citations (1)
  6. Forecasting Inflation Uncertainty in the United States and Euro Area
    Computational Economics, 2019, 54, (1), 455-476 Downloads View citations (7)
  7. Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 1-3 Downloads
  8. Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
    Annals of Operations Research, 2019, 281, (1), 275-295 Downloads
  9. Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis
    Energy Economics, 2019, 80, (C), 12-19 Downloads View citations (6)
  10. On the Oil Price Uncertainty
    The Energy Journal, 2019, Volume 40, (Special Issue) Downloads
  11. On the relationship between energy returns and trading volume: a multifractal analysis
    Applied Economics, 2019, 51, (29), 3122-3136 Downloads View citations (1)
  12. The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies
    International Economics, 2019, (160), 3-13 Downloads View citations (10)
    Also in International Economics, 2019, 160, (C), 3-13 (2019) Downloads View citations (12)

    See also Working Paper (2019)

2018

  1. A model of fiscal dominance under the “Reinhart Conjecture”
    Journal of Economic Dynamics and Control, 2018, 93, (C), 332-345 Downloads View citations (2)
    See also Working Paper (2018)
  2. An Interview with Timo Teräsvirta
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 5 Downloads View citations (1)
    See also Working Paper (2018)
  3. An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
    Journal of Economic Dynamics and Control, 2018, 91, (C), 469-484 Downloads View citations (4)
  4. Analyzing the governance structure of French banking groups
    Research in International Business and Finance, 2018, 44, (C), 40-48 Downloads
    See also Working Paper (2018)
  5. Assessing the Effect of Trade Openness on Health in the MENA Region: a Panel Data Analysis
    Open Economies Review, 2018, 29, (2), 469-479 Downloads View citations (1)
  6. Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 18 Downloads
    See also Working Paper (2018)
  7. INTRODUCTION TO RECENT INSIGHTS INTO FINANCIAL, HOUSING, AND MONETARY MARKETS
    Macroeconomic Dynamics, 2018, 22, (7), 1721-1726 Downloads
  8. INTRODUCTION TO THE SYMPOSIUM ON INEQUALITY, UNCERTAINTY, AND MACRO‐FINANCIAL DYNAMICS
    Economic Inquiry, 2018, 56, (1), 545-546 Downloads
  9. MODELING INTERNATIONAL STOCK PRICE COMOVEMENTS WITH HIGH-FREQUENCY DATA
    Macroeconomic Dynamics, 2018, 22, (7), 1875-1903 Downloads View citations (2)
  10. Measurement errors in stock markets
    Annals of Operations Research, 2018, 262, (2), 287-306 Downloads View citations (2)
  11. Recent Developments in Macro-Econometric Modeling: Theory and Applications
    Econometrics, 2018, 6, (2), 1-5 Downloads
    See also Working Paper (2018)
  12. Special Issue: Financial Market Dynamics, Monetary Policy, Investment and Trade. Papers Presented at the Fourth International Symposium in Computational Economics and Finance (Paris, April 14–16, 2016)
    Open Economies Review, 2018, 29, (2), 211-213 Downloads
  13. Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification
    Applied Economics, 2018, 50, (5), 559-573 Downloads View citations (3)
  14. Toward a new deal for Saudi Arabia: oil or Islamic stock market investment?
    Applied Economics, 2018, 50, (59), 6355-6363 Downloads View citations (1)
  15. Uncertainty assessment in socially responsible and Islamic stock markets in the short and long terms: an ARDL approach
    Applied Economics, 2018, 50, (39), 4286-4294 Downloads View citations (2)

2017

  1. An empirical comparison of transformed diffusion models for VIX and VIX futures
    Journal of International Financial Markets, Institutions and Money, 2017, 46, (C), 116-127 Downloads View citations (4)
  2. Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach
    Economic Modelling, 2017, 64, (C), 567-588 Downloads View citations (5)
  3. Assessing financial and housing wealth effects through the lens of a nonlinear framework
    Research in International Business and Finance, 2017, 39, (PB), 840-850 Downloads View citations (1)
    See also Working Paper (2017)
  4. Does Islamic banking performance vary across regions? A new puzzle
    Applied Economics Letters, 2017, 24, (8), 567-570 Downloads View citations (2)
  5. Equity prices and fundamentals: a DDM–APT mixed approach
    Review of Quantitative Finance and Accounting, 2017, 49, (3), 661-695 Downloads View citations (2)
    See also Working Paper (2017)
  6. Introduction: recent developments of switching models for financial data
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 1-2 Downloads View citations (1)
    See also Working Paper (2017)
  7. Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 47-63 Downloads
  8. Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis
    Economic Modelling, 2017, 67, (C), 300-306 Downloads View citations (4)
  9. Modelling the relationship between future energy intraday volatility and trading volume with wavelet
    Applied Economics, 2017, 49, (20), 1981-1993 Downloads View citations (3)
  10. ON THE MACROECONOMIC AND WEALTH EFFECTS OF UNCONVENTIONAL MONETARY POLICY
    Macroeconomic Dynamics, 2017, 21, (5), 1189-1204 Downloads View citations (8)
  11. Uncertainty and the United States’ election effect on the economy: some thoughts and empirical illustrations
    Applied Economics Letters, 2017, 24, (20), 1472-1475 Downloads View citations (2)

2016

  1. Advances and challenges in decision-making, monetary policy and financial markets
    Economic Modelling, 2016, 52, (PA), 1-2 Downloads View citations (1)
    See also Working Paper (2016)
  2. Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches
    Open Economies Review, 2016, 27, (3), 541-559 Downloads View citations (1)
  3. Can the Islamic bank be an emerging leader? A panel data causality analysis
    Applied Economics Letters, 2016, 23, (14), 991-994 Downloads View citations (1)
  4. Do Islamic and Conventional Banks Really Differ? A Panel Data Statistical Analysis
    Open Economies Review, 2016, 27, (2), 293-302 Downloads View citations (8)
  5. Do Regulatory and Supervisory Reforms Affect European Bank Stability: Further Evidence from Panel Data
    Bankers, Markets & Investors, 2016, (141), 58-70 Downloads View citations (1)
  6. Fiscal and monetary policies in the BRICS: A panel VAR approach
    Economic Modelling, 2016, 58, (C), 535-542 Downloads View citations (41)
  7. Intraday jumps and trading volume: a nonlinear Tobit specification
    Review of Quantitative Finance and Accounting, 2016, 47, (4), 1167-1186 Downloads View citations (6)
    See also Working Paper (2016)
  8. Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach
    Emerging Markets Review, 2016, 27, (C), 84-99 Downloads View citations (16)
  9. On oil-US exchange rate volatility relationships: An intraday analysis
    Economic Modelling, 2016, 59, (C), 329-334 Downloads View citations (18)
    See also Working Paper (2017)
  10. On the Reputation of Islamic Banks: a Panel Data Qualitative Econometrics Analysis
    Open Economies Review, 2016, 27, (5), 987-998 Downloads View citations (2)
  11. On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach
    Economic Modelling, 2016, 52, (PA), 292-299 Downloads View citations (21)
  12. What Have We Learned from the 2007-08 Financial Crisis? Papers Presented at the Second International Workshop on Financial Markets and Nonlinear Dynamics (Paris, June 4-5, 2015)
    Open Economies Review, 2016, 27, (5), 819-823 Downloads

2015

  1. Are Islamic stock markets efficient? A time-series analysis
    Applied Economics, 2015, 47, (16), 1686-1697 Downloads View citations (20)
  2. Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?
    Applied Economics, 2015, 47, (34-35), 3633-3650 Downloads View citations (7)
  3. Recent topics in Applied Financial Economics
    Applied Economics, 2015, 47, (34-35), 3613-3616 Downloads View citations (1)
  4. Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach
    Journal of Financial Markets, 2015, 26, (C), 64-84 Downloads View citations (8)

2014

  1. Conventional and Islamic stock price performance: An empirical investigation
    International Economics, 2014, (137), 73-87 Downloads View citations (69)
  2. Financial linkages between US sector credit default swaps markets
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 223-243 Downloads View citations (11)
  3. Fiscal policy in the BRICs
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (2), 15 Downloads View citations (10)
    See also Working Paper (2011)
  4. Nonlinear monetary policy reaction functions in large emerging economies: the case of Brazil and China
    Applied Economics, 2014, 46, (9), 973-984 Downloads View citations (28)
  5. The Relationship between Consumption and Wealth: A Quantile Regression Approach
    Revue d'économie politique, 2014, 124, (4), 639-652 Downloads View citations (10)

2013

  1. Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations
    Applied Economics, 2013, 45, (24), 3412-3420 Downloads View citations (37)
    See also Working Paper (2013)
  2. Boundedness and nonlinearities in public debt dynamics: A TAR assessment
    Economic Modelling, 2013, 34, (C), 154-160 Downloads View citations (10)
  3. Computational tools in econometric modeling for macroeconomics and finance
    Economic Modelling, 2013, 34, (C), 1-4 Downloads View citations (1)
    See also Working Paper (2013)
  4. Do the US trends drive the UK--French market linkages?: empirical evidence from a threshold intraday analysis
    Applied Economics Letters, 2013, 20, (5), 499-503 Downloads
    See also Working Paper (2013)
  5. Information technology sector and equity markets: an empirical investigation
    Applied Financial Economics, 2013, 23, (9), 729-737 Downloads View citations (2)
  6. Measuring time-varying equity risk premium in the context of financial crisis: do developed and emerging markets differ?
    Applied Economics Letters, 2013, 20, (18), 1673-1677 Downloads
  7. Modelling money demand: further evidence from an international comparison
    Applied Economics Letters, 2013, 20, (11), 1052-1055 Downloads View citations (2)
    See also Working Paper (2012)
  8. Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity
    Economic Modelling, 2013, 32, (C), 507-515 Downloads View citations (19)
    See also Working Paper (2012)
  9. Structural breaks and nonlinearity in US and UK public debts
    Applied Economics Letters, 2013, 20, (7), 653-657 Downloads View citations (5)
    See also Working Paper (2012)
  10. Testing the efficiency of the aluminium market: evidence from London metal exchange
    Applied Financial Economics, 2013, 23, (6), 483-493 Downloads
  11. Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 313-333 Downloads View citations (5)
  12. What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?
    Journal of Macroeconomics, 2013, 36, (C), 175-187 Downloads View citations (5)
    See also Working Paper (2013)

2012

  1. Arbitrage costs and nonlinear adjustment in the G7 stock markets
    Applied Economics, 2012, 44, (12), 1561-1582 Downloads View citations (7)
    See also Working Paper (2011)
  2. Are hedge fund clones attractive financial products for investors?
    Applied Economics Letters, 2012, 19, (8), 739-743 Downloads View citations (2)
    See also Working Paper (2012)
  3. INTRODUCTION TO TIME-VARYING MODELING WITH MACROECONOMIC AND FINANCIAL DATA
    Macroeconomic Dynamics, 2012, 16, (S2), 167-175 Downloads View citations (2)
  4. MODELING NONLINEAR AND HETEROGENEOUS DYNAMIC LINKS IN INTERNATIONAL MONETARY MARKETS
    Macroeconomic Dynamics, 2012, 16, (S2), 232-251 Downloads View citations (3)
  5. Modeling hedge fund exposure to risk factors
    Economic Modelling, 2012, 29, (4), 1003-1018 Downloads View citations (7)
    See also Working Paper (2012)
  6. NONLINEARITY, CYCLICITY, AND PERSISTENCE IN CONSUMPTION AND INCOME RELATIONSHIPS: RESEARCH IN HONOR OF MELVIN J. HINICH
    Macroeconomic Dynamics, 2012, 16, (S3), 376-393 Downloads View citations (5)
  7. Nonlinear modeling of oil and stock price dynamics: segmentation or time-varying integration?
    Economics Bulletin, 2012, 32, (3), 2481-2489 Downloads
  8. Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
    Economic Modelling, 2012, 29, (3), 884-892 Downloads View citations (28)
    See also Working Paper (2012)
  9. Second International Symposium in Computational Economics and Finance
    Economics Bulletin, 2012, 32, (1), A6 Downloads

2011

  1. Do on/off time series models reproduce emerging stock market comovements?
    Economics Bulletin, 2011, 31, (1), 960-968 Downloads View citations (4)
  2. Nonlinear mean reversion in oil and stock markets
    Review of Accounting and Finance, 2011, 10, (3), 316-326 Downloads View citations (6)
  3. The current international financial crisis in 10 questions: some lessons
    Applied Economics Letters, 2011, 18, (3), 279-283 Downloads View citations (1)
  4. The speculative efficiency of the aluminum market: A nonlinear Investigation
    International Economics, 2011, (126-127), 73–89 Downloads View citations (1)

2010

  1. European Microfinance Institutions and Information and Communication Technologies: An Empirical Qualitative Investigation in the French Context
    Journal of Electronic Commerce in Organizations (JECO), 2010, 8, (3), 38-48 Downloads
  2. Financial crises, bank losses, risk management and audit: what happened?
    Applied Economics Letters, 2010, 17, (10), 1019-1022 Downloads View citations (3)
  3. Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions
    Applied Financial Economics, 2010, 20, (8), 669-680 Downloads View citations (8)
    See also Working Paper (2010)
  4. On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM
    Economics Bulletin, 2010, 30, (2), 1032-1043 Downloads View citations (2)
    See also Working Paper (2010)
  5. Short and long-term links between oil prices and stock markets in Europe
    Economics Bulletin, 2010, 30, (1), 817-828 Downloads View citations (5)
  6. Stock market integration in Mexico and Argentina: are short- and long-term considerations different?
    Applied Economics Letters, 2010, 17, (15), 1503-1507 Downloads View citations (4)

2009

  1. Essay in dividend modelling and forecasting: does nonlinearity help?
    Applied Financial Economics, 2009, 19, (16), 1329-1343 Downloads View citations (5)
  2. Nonlinear Cointegration Relationships Between Non‐Life Insurance Premiums and Financial Markets
    Journal of Risk & Insurance, 2009, 76, (3), 753-783 Downloads View citations (18)
  3. Stock market integration in the Latin American markets: further evidence from nonlinear modeling
    Economics Bulletin, 2009, 29, (1), 162-168 Downloads View citations (6)
    See also Working Paper (2009)

2008

  1. ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?
    The International Journal of Business and Finance Research, 2008, 2, (2), 107-116 Downloads View citations (5)
    See also Working Paper (2008)
  2. Does nonlinear econometrics confirm the macroeconomic models of consumption?
    Economics Bulletin, 2008, 5, (17), 1-11 Downloads View citations (3)
  3. ESTIMATING THE S&P FUNDAMENTAL VALUE USING STAR MODELS
    Global Journal of Business Research, 2008, 2, (1), 137-146 Downloads View citations (1)

2007

  1. Co-Mouvements des marchés boursiers émergents:Intégration ou contagion ?
    Brussels Economic Review, 2007, 50, (3), 315-333 Downloads View citations (1)
  2. Dynamique non-linéaire des marchés boursiers du G7: une application des modèles STAR
    Finance, 2007, 28, (1), 29-74 Downloads View citations (6)

Edited books

2018

  1. Uncertainty, Expectations and Asset Price Dynamics
    Dynamic Modeling and Econometrics in Economics and Finance, Springer

2015

  1. Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, vol 24
    International Symposia in Economic Theory and Econometrics, Emerald Publishing Ltd Downloads

2014

  1. Market Microstructure and Nonlinear Dynamics
    Springer Books, Springer

Chapters

2021

  1. Revisiting Wealth Effects in France: A Double-Nonlinearity Approach
    Springer

2011

  1. Essays in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case
    Palgrave Macmillan
  2. Nonlinear Cointegration and Nonlinear Error-Correction Models: Theory and Empirical Applications for Oil and Stock Markets
    Palgrave Macmillan
  3. Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
    Palgrave Macmillan
    See also Working Paper (2011)

2008

  1. THRESHOLD MEAN REVERSION IN STOCK PRICES
    Chapter 18 in Risk Management And Value Valuation and Asset Pricing, 2008, pp 477-493 Downloads View citations (1)
 
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