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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 2019-12-17. Update your information in the RePEc Author Service.

Short-id: pfr45


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Working Papers

2018

  1. The Causal Relationships between Inflation and Inflation Uncertainty
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2018) Downloads
  2. The Nonlinear Relationship between Economic growth and Financial Development
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads

2017

  1. Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
  2. On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (1)
    See also Journal Article in Economic Modelling (2016)

2015

  1. Equity Prices and Fundamentals: a DDM-APT Mixed Approach
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (1)
    Also in Working Papers, Department of Research, Ipag Business School (2015) Downloads

    See also Journal Article in Review of Quantitative Finance and Accounting (2017)

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 (13)

2012

  1. Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation
    NIPE Working Papers, NIPE - Universidade do Minho Downloads
  2. Introduction to Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2012) Downloads View citations (1)
  3. 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)
  4. 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)
  5. 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. Fiscal Policy in the BRICs
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (5)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2014)
  2. Monetary Policy Rules in the BRICS: How Important is Nonlinearity?
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (3)

2010

  1. Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions
    Working Papers, HAL Downloads View citations (7)
    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
  5. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?
    Working Papers, HAL Downloads
    See also Journal Article in Journal of Macroeconomics (2013)

2009

  1. Nonlinear Stock Price Adjustment in the G7 Countries
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (15)
    Also in Working Papers, HAL (2007) Downloads View citations (1)
  2. Stock market integration in the Latin American markets: further evidence from nonlinear modeling
    Papers, arXiv.org Downloads View citations (4)
    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 (3)

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 (2)

Journal Articles

2019

  1. Computing stock price comovements with a three-regime panel smooth transition error correction model
    Annals of Operations Research, 2019, 274, (1), 331-345 Downloads
  2. Correction to: Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 5-5 Downloads
  3. Does the volatility of volatility risk forecast future stock returns?
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 16-36 Downloads
  4. Forecasting Inflation Uncertainty in the United States and Euro Area
    Computational Economics, 2019, 54, (1), 455-476 Downloads
  5. Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 1-3 Downloads
  6. 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
  7. Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis
    Energy Economics, 2019, 80, (C), 12-19 Downloads
  8. On the relationship between energy returns and trading volume: a multifractal analysis
    Applied Economics, 2019, 51, (29), 3122-3136 Downloads

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)
  2. An Interview with Timo Teräsvirta
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 5 Downloads
  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
  4. Analyzing the governance structure of French banking groups
    Research in International Business and Finance, 2018, 44, (C), 40-48 Downloads
  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
  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
  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
  10. Measurement errors in stock markets
    Annals of Operations Research, 2018, 262, (2), 287-306 Downloads View citations (1)
  11. Recent Developments in Macro-Econometric Modeling: Theory and Applications
    Econometrics, 2018, 6, (2), 1-5 Downloads
  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
  14. Toward a new deal for Saudi Arabia: oil or Islamic stock market investment?
    Applied Economics, 2018, 50, (59), 6355-6363 Downloads
  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

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 (1)
  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 (2)
  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
  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 (1)
    See also Working Paper (2015)
  6. Introduction: recent developments of switching models for financial data
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 1-2 Downloads
  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 (3)
  9. Modelling the relationship between future energy intraday volatility and trading volume with wavelet
    Applied Economics, 2017, 49, (20), 1981-1993 Downloads View citations (1)
  10. ON THE MACROECONOMIC AND WEALTH EFFECTS OF UNCONVENTIONAL MONETARY POLICY
    Macroeconomic Dynamics, 2017, 21, (5), 1189-1204 Downloads View citations (2)
  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 (1)

2016

  1. Advances and challenges in decision-making, monetary policy and financial markets
    Economic Modelling, 2016, 52, (PA), 1-2 Downloads View citations (1)
  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 (19)
  7. Intraday jumps and trading volume: a nonlinear Tobit specification
    Review of Quantitative Finance and Accounting, 2016, 47, (4), 1167-1186 Downloads View citations (3)
  8. Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach
    Emerging Markets Review, 2016, 27, (C), 84-99 Downloads View citations (13)
  9. On oil-US exchange rate volatility relationships: An intraday analysis
    Economic Modelling, 2016, 59, (C), 329-334 Downloads View citations (6)
    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 (1)
  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 (11)
  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 (16)
  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 (3)
  3. Recent topics in Applied Financial Economics
    Applied Economics, 2015, 47, (34-35), 3613-3616 Downloads
  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 (4)

2014

  1. Conventional and Islamic stock price performance: An empirical investigation
    International Economics, 2014, (137), 73-87 Downloads View citations (49)
  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 (4)
    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 (15)
  5. The Relationship between Consumption and Wealth: A Quantile Regression Approach
    Revue d'économie politique, 2014, 124, (4), 639-652 Downloads View citations (9)

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 (28)
  2. Boundedness and nonlinearities in public debt dynamics: A TAR assessment
    Economic Modelling, 2013, 34, (C), 154-160 Downloads View citations (8)
  3. Computational tools in econometric modeling for macroeconomics and finance
    Economic Modelling, 2013, 34, (C), 1-4 Downloads
  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
  5. Information technology sector and equity markets: an empirical investigation
    Applied Financial Economics, 2013, 23, (9), 729-737 Downloads
  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 (14)
    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 (4)
    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 (4)
  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 (3)
    See also Working Paper (2010)

2012

  1. Arbitrage costs and nonlinear adjustment in the G7 stock markets
    Applied Economics, 2012, 44, (12), 1561-1582 Downloads View citations (6)
  2. Are hedge fund clones attractive financial products for investors?
    Applied Economics Letters, 2012, 19, (8), 739-743 Downloads View citations (2)
  3. INTRODUCTION TO TIME-VARYING MODELING WITH MACROECONOMIC AND FINANCIAL DATA
    Macroeconomic Dynamics, 2012, 16, (S2), 167-175 Downloads View citations (1)
  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 (4)
  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 (4)
  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 (25)
  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 (2)

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 (7)
    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 (3)

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 (5)
    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)
  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 (5)

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

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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