Details about Fredj JAWADI

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 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pfr45

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Working Papers

2024

1. How Do Investor’s Expectations and Emotions Drive Financial Asset Prices in Times of Crises and Uncertainty: The Analysis of Experts’ Opinions
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
2. Time-Varying Financial Performance of Green and Traditional Energy Indices with Special Reference to the COVID-19 Context
   Post-Print, HAL
   Also in Post-Print, HAL (2021)
3. Trade fragmentation and volatility-of-volatility networks
   Post-Print, HAL
   See also Journal Article Trade fragmentation and volatility-of-volatility networks, Journal of International Financial Markets, Institutions and Money, Elsevier (2024) (2024)

2023

4. A Sentiment Analysis using Tweet Information: An Artificial Intelligence Approach
   Post-Print, HAL
5. Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton
   Post-Print, HAL
   See also Journal Article Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton, The Energy Journal, International Association for Energy Economics (2023) View citations (2) (2023)
6. Behavioral Finance and Asset Prices: The Influence of Investor's Emotion
   Post-Print, HAL
7. Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions
   Post-Print, HAL View citations (2)
   See also Journal Article Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions, Energy Economics, Elsevier (2023) View citations (12) (2023)
8. How Do Investor’s Expectations and Emotions Drive Financial Asset Prices in Times Crises and Uncertainty: The Analysis of Experts' Opinion
   Post-Print, HAL
9. Insights into CO2 emissions in Europe in the context of COVID-19: A panel data analysis
   (Étude sur les émissions de Co2 en Europe dans le contexte du COVID 19)
   Post-Print, HAL View citations (3)
   See also Journal Article Insights into CO2 emissions in Europe in the context of COVID-19: A panel data analysis, International Economics, Elsevier (2023) View citations (9) (2023)
10. Introduction
    Post-Print, HAL
11. Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
    Post-Print, HAL View citations (2)
    See also Journal Article Modeling extreme risk spillovers between crude oil and Chinese energy futures markets, Energy Economics, Elsevier (2023) View citations (2) (2023)
12. Reconstruction of international energy trade networks with given marginal data: A comparative analysis
    Post-Print, HAL
    See also Journal Article Reconstruction of international energy trade networks with given marginal data: A comparative analysis, Chaos, Solitons & Fractals, Elsevier (2023) View citations (4) (2023)
13. Reexamining the oil price & islamic finance relationship: a multicriteria time series analysis
    Post-Print, HAL
14. Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?
    Post-Print, HAL
    See also Journal Article Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?, Energy Economics, Elsevier (2023) (2023)
15. What drives the US stock market in the context of COVID-19: fundamentals or investors’ emotions
    Post-Print, HAL

2022

16. Can Collective Emotions Improve Bitcoin Volatility Forecasts?”
    Post-Print, HAL
17. Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation
    Post-Print, HAL
    See also Journal Article Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation, Computational Economics, Springer (2023) (2023)
18. Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach
    (Est-ce que les émotions collectives ont une influence directrice sur la volatilité?)
    Post-Print, HAL
    See also Journal Article Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach, Journal of Economic Behavior & Organization, Elsevier (2022) View citations (11) (2022)
19. Essays in modelling financial market dynamics: An overview
    Post-Print, HAL
    See also Journal Article Essays in modelling financial market dynamics: An overview, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2022) (2022)
20. Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
    Post-Print, HAL
    See also Journal Article Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework, Empirical Economics, Springer (2023) (2023)
21. Sovereign bond market integration in the euro area: a new empirical conceptualization
    Post-Print, HAL
    See also Journal Article Sovereign bond market integration in the euro area: a new empirical conceptualization, Annals of Operations Research, Springer (2022) (2022)
22. Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data
    Post-Print, HAL
    See also Journal Article Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data, Annals of Operations Research, Springer (2024) (2024)
23. The COVID-19 pandemic and ethical stock markets: further evidence of moral shock
    Post-Print, HAL
    See also Journal Article The COVID-19 pandemic and ethical stock markets: further evidence of moral shock, Applied Economics, Taylor & Francis Journals (2022) (2022)

2021

24. Conventional and Islamic stock market liquidity and volatility during COVID 19
    Post-Print, HAL
    See also Journal Article Conventional and Islamic stock market liquidity and volatility during COVID 19, Applied Economics, Taylor & Francis Journals (2021) View citations (1) (2021)
25. Does inequality help in forecasting equity premium in a panel of G7 countries?
    Post-Print, HAL
    Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (4)
    See also Journal Article Does inequality help in forecasting equity premium in a panel of G7 countries?, The North American Journal of Economics and Finance, Elsevier (2021) View citations (6) (2021)
26. Does the Real Business Cycle Help Forecast the Financial Cycle?
    Post-Print, HAL
    See also Journal Article Does the Real Business Cycle Help Forecast the Financial Cycle?, Computational Economics, Springer (2022) View citations (1) (2022)
27. Oil price volatility in the context of Covid-19
    (Le prix du pétrole dans le contexte du Covid 19)
    Post-Print, HAL
    See also Journal Article Oil price volatility in the context of Covid-19, International Economics, Elsevier (2021) View citations (42) (2021)

2020

28. Causal Relationships Between Inflation and Inflation Uncertainty
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (2)
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2018) View citations (3)
    MPRA Paper, University Library of Munich, Germany (2020) View citations (2)
    See also Journal Article Causal relationships between inflation and inflation uncertainty, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) View citations (4) (2020)
29. Unconventional monetary policy reaction functions: evidence from the US
    Post-Print, HAL View citations (2)
    See also Journal Article Unconventional monetary policy reaction functions: evidence from the US, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) View citations (2) (2020)

2019

30. The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies
    Post-Print, HAL View citations (28)
    See also Journal Article The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies, International Economics, Elsevier (2019) View citations (35) (2019)
31. Understanding Oil Price Dynamics and their Effects over Recent Decades: An Interview with James Hamilton
    Post-Print, HAL View citations (3)

2018

32. A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures
    Working Papers, University of Liverpool, Department of Economics
    See also Journal Article A multifactor transformed diffusion model with applications to VIX and VIX futures, Econometric Reviews, Taylor & Francis Journals (2020) (2020)
33. A model of fiscal dominance under the “Reinhart Conjecture”
    Post-Print, HAL View citations (5)
    See also Journal Article A model of fiscal dominance under the “Reinhart Conjecture”, Journal of Economic Dynamics and Control, Elsevier (2018) View citations (5) (2018)
34. An interview with Timo Teräsvirta
    Post-Print, HAL View citations (1)
    See also Journal Article An Interview with Timo Teräsvirta, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2018) View citations (1) (2018)
35. Analyzing the governance structure of French banking groups
    Post-Print, HAL
    See also Journal Article Analyzing the governance structure of French banking groups, Research in International Business and Finance, Elsevier (2018) (2018)
36. 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 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, De Gruyter (2018) (2018)
37. Recent developments in macro-econometric modeling: theory and applications
    Post-Print, HAL
    See also Journal Article Recent Developments in Macro-Econometric Modeling: Theory and Applications, Econometrics, MDPI (2018) (2018)
38. The Nonlinear Relationship between Economic growth and Financial Development
    Working Papers, HAL
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2018)

2017

39. Assessing financial and housing wealth effects through the lens of a nonlinear framework
    Post-Print, HAL View citations (6)
    See also Journal Article Assessing financial and housing wealth effects through the lens of a nonlinear framework, Research in International Business and Finance, Elsevier (2017) View citations (5) (2017)
40. Equity prices and fundamentals: a DDM–APT mixed approach
    Post-Print, HAL View citations (1)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2015) View citations (2)
    Working Papers, Department of Research, Ipag Business School (2015)
    Working paper serie RMT - Grenoble Ecole de Management, HAL (2015)
    Working Papers, HAL (2015)
    See also Journal Article Equity prices and fundamentals: a DDM–APT mixed approach, Review of Quantitative Finance and Accounting, Springer (2017) View citations (3) (2017)
41. Introduction: recent developments of switching models for financial data
    Post-Print, HAL View citations (1)
    See also Journal Article Introduction: recent developments of switching models for financial data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) View citations (1) (2017)
42. On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis
    Working Papers, HAL
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2017) View citations (3)
    See also Journal Article On oil-US exchange rate volatility relationships: An intraday analysis, Economic Modelling, Elsevier (2016) View citations (36) (2016)

2016

43. Advances and challenges in decision-making, monetary policy and financial markets
    Post-Print, HAL View citations (1)
    See also Journal Article Advances and challenges in decision-making, monetary policy and financial markets, Economic Modelling, Elsevier (2016) View citations (1) (2016)
44. Intraday jumps and trading volume: a nonlinear Tobit specification
    Post-Print, HAL View citations (5)
    See also Journal Article Intraday jumps and trading volume: a nonlinear Tobit specification, Review of Quantitative Finance and Accounting, Springer (2016) View citations (6) (2016)

2014

45. Does Islamic Finance Outperform Conventional Finance ? Further Evidence from the recent financial crisis
    Working Papers, Department of Research, Ipag Business School View citations (15)
46. Market microstructure and nonlinear dynamics: keeping financial crisis in context
    Grenoble Ecole de Management (Post-Print), HAL View citations (2)
    Also in Post-Print, HAL (2014) View citations (1)
47. The effects of regulation and supervision on european banking profitability and risk: a panel data investigation
    Grenoble Ecole de Management (Post-Print), HAL
    Also in Post-Print, HAL (2014) View citations (1)

2013

48. Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations
    Grenoble Ecole de Management (Post-Print), HAL View citations (40)
    Also in Post-Print, HAL (2013) View citations (34)
    See also Journal Article Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations, Applied Economics, Taylor & Francis Journals (2013) View citations (44) (2013)
49. Computational tools in econometric modeling for macroeconomics and finance
    Grenoble Ecole de Management (Post-Print), HAL
    Also in Post-Print, HAL (2013) View citations (1)
    See also Journal Article Computational tools in econometric modeling for macroeconomics and finance, Economic Modelling, Elsevier (2013) View citations (1) (2013)
50. Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis
    Grenoble Ecole de Management (Post-Print), HAL View citations (1)
    Also in Post-Print, HAL (2013) View citations (1)
    See also Journal Article Do the US trends drive the UK--French market linkages?: empirical evidence from a threshold intraday analysis, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (1) (2013)
51. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?
    Post-Print, HAL View citations (9)
    Also in Grenoble Ecole de Management (Post-Print), HAL (2013) View citations (9)
    Working Papers, HAL (2010)
    See also Journal Article What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?, Journal of Macroeconomics, Elsevier (2013) View citations (10) (2013)

2012

52. Arbitrage Costs and Nonlinear Stock Price Adjustment in the G7 Countries
    Post-Print, HAL View citations (15)
53. Are hedge fund clones attractive financial products for investors
    Post-Print, HAL View citations (2)
    See also Journal Article Are hedge fund clones attractive financial products for investors?, Applied Economics Letters, Taylor & Francis Journals (2012) View citations (2) (2012)
54. Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation
    NIPE Working Papers, NIPE - Universidade do Minho
55. Evolution of the US Stock Market Risk Premium in Periods of Crisis
    Post-Print, HAL
56. 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 View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (3)
57. Modelling Hedge Fund Exposure to Risk Factors
    Post-Print, HAL View citations (15)
    See also Journal Article Modeling hedge fund exposure to risk factors, Economic Modelling, Elsevier (2012) View citations (11) (2012)
58. Modelling Money Demand: Further Evidence from an International Comparison
    NIPE Working Papers, NIPE - Universidade do Minho
    See also Journal Article Modelling money demand: further evidence from an international comparison, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (3) (2013)
59. Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity
    NIPE Working Papers, NIPE - Universidade do Minho View citations (1)
    See also Journal Article Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity, Economic Modelling, Elsevier (2013) View citations (25) (2013)
60. Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
    Post-Print, HAL View citations (37)
    See also Journal Article Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS, Economic Modelling, Elsevier (2012) View citations (39) (2012)
61. Sources d'inefficience et ajustement asymétrique des cours boursiers
    Post-Print, HAL
62. Structural Breaks and Nonlinearity in US and UK Public Debt
    NIPE Working Papers, NIPE - Universidade do Minho
    See also Journal Article Structural breaks and nonlinearity in US and UK public debts, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (5) (2013)

2011

63. Arbitrage Costs and Nonlinear Adjustment in the G7 Stock Markets
    Post-Print, HAL
    See also Journal Article Arbitrage costs and nonlinear adjustment in the G7 stock markets, Applied Economics, Taylor & Francis Journals (2012) View citations (8) (2012)
64. Can information and communication technologies improve the performance of microfinance programs? Further evidence from developing and emergent financial markets
    Post-Print, HAL
65. Does islamic finance outperform conventional finance? Further evidence from an international comparison
    Post-Print, HAL
66. Fiscal Policy in the BRICs
    NIPE Working Papers, NIPE - Universidade do Minho View citations (9)
    See also Journal Article Fiscal policy in the BRICs, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) View citations (15) (2014)
67. Monetary Policy Rules in the BRICS: How Important is Nonlinearity?
    NIPE Working Papers, NIPE - Universidade do Minho View citations (4)
68. Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data
    Post-Print, HAL View citations (1)
    See also Chapter Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data, Palgrave Macmillan Books, Palgrave Macmillan (2011) View citations (1) (2011)

2010

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

2009

73. Nonlinear Stock Price Adjustment in the G7 Countries
    EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (14)
    Also in Working Papers, HAL (2009)
    Working Papers, HAL (2007) View citations (1)
74. Stock market integration in the Latin American markets: further evidence from nonlinear modeling
    Post-Print, HAL View citations (6)
    Also in Papers, arXiv.org (2009) View citations (7)
    See also Journal Article Stock market integration in the Latin American markets: further evidence from nonlinear modeling, Economics Bulletin, AccessEcon (2009) View citations (7) (2009)
75. Threshold cointegration relationships between oil and stock markets
    Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (4)

2008

76. Are American and French Stok Markets Integrated?
    Post-Print, HAL View citations (1)
    See also Journal Article ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?, The International Journal of Business and Finance Research, The Institute for Business and Finance Research (2008) View citations (7) (2008)
77. Coûts de transaction, contagion, mimétisme et dynamique asymétriques des cours boursiers
    Post-Print, HAL
78. Stock Market Integration in the Emerging Countries
    Post-Print, HAL View citations (7)

2006

79. Coûts de transaction et dynamique non-linéaire des prix des actifs financiers: une note théorique
    Working Papers, HAL
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2006)

2004

80. Threshold Cointegration between Stock Returns: An application of STECM Models
    Econometrics, University Library of Munich, Germany View citations (4)

Journal Articles

2024

1. Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data
   Annals of Operations Research, 2024, 333, (1), 461-479
   See also Working Paper Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data, Post-Print (2022) (2022)
2. Trade fragmentation and volatility-of-volatility networks
   Journal of International Financial Markets, Institutions and Money, 2024, 91, (C)
   See also Working Paper Trade fragmentation and volatility-of-volatility networks, Post-Print (2024) (2024)

2023

3. Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton
   The Energy Journal, 2023, Volume 44, (Number 1) View citations (2)
   See also Working Paper Analyzing Commodity Prices in the Context of COVID-19, High Inflation, and the Ukrainian War: An Interview with James Hamilton, Post-Print (2023) (2023)
4. Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation
   Computational Economics, 2023, 62, (4), 1393-1411
   See also Working Paper Do Multi-Market Institutions and Renewable Energy Matter for Sustainable Development: A Panel Data Investigation, Post-Print (2022) (2022)
5. Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions
   Energy Economics, 2023, 117, (C) View citations (12)
   See also Working Paper Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions, Post-Print (2023) View citations (2) (2023)
6. Insights into CO2 emissions in Europe in the context of COVID-19: A panel data analysis
   International Economics, 2023, 173, (C), 164-174 View citations (9)
   See also Working Paper Insights into CO2 emissions in Europe in the context of COVID-19: A panel data analysis, Post-Print (2023) View citations (3) (2023)
7. Modeling extreme risk spillovers between crude oil and Chinese energy futures markets
   Energy Economics, 2023, 126, (C) View citations (2)
   See also Working Paper Modeling extreme risk spillovers between crude oil and Chinese energy futures markets, Post-Print (2023) View citations (2) (2023)
8. Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
   Empirical Economics, 2023, 65, (1), 93-110
   See also Working Paper Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework, Post-Print (2022) (2022)
9. Reconstruction of international energy trade networks with given marginal data: A comparative analysis
   Chaos, Solitons & Fractals, 2023, 167, (C) View citations (4)
   See also Working Paper Reconstruction of international energy trade networks with given marginal data: A comparative analysis, Post-Print (2023) (2023)
10. Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?
    Energy Economics, 2023, 127, (PA)
    See also Working Paper Revisiting the linkages between oil prices and macroeconomy for the euro area: Does energy inflation still matter?, Post-Print (2023) (2023)

2022

11. A latent‐factor‐driven endogenous regime‐switching non‐Gaussian model: Evidence from simulation and application
    International Journal of Finance & Economics, 2022, 27, (4), 3881-3896
12. Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach
    Journal of Economic Behavior & Organization, 2022, 196, (C), 294-306 View citations (11)
    See also Working Paper Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach, Post-Print (2022) (2022)
13. Does the Real Business Cycle Help Forecast the Financial Cycle?
    Computational Economics, 2022, 60, (4), 1529-1546 View citations (1)
    See also Working Paper Does the Real Business Cycle Help Forecast the Financial Cycle?, Post-Print (2021) (2021)
14. Essays in modelling financial market dynamics: An overview
    International Journal of Finance & Economics, 2022, 27, (4), 3803-3804
    See also Working Paper Essays in modelling financial market dynamics: An overview, Post-Print (2022) (2022)
15. Measuring extreme risk dependence between the oil and gas markets
    Annals of Operations Research, 2022, 313, (2), 755-772 View citations (2)
16. On the effect of oil price in the context of Covid‐19
    International Journal of Finance & Economics, 2022, 27, (4), 3924-3933 View citations (5)
17. Sovereign bond market integration in the euro area: a new empirical conceptualization
    Annals of Operations Research, 2022, 318, (1), 147-161
    See also Working Paper Sovereign bond market integration in the euro area: a new empirical conceptualization, Post-Print (2022) (2022)
18. The COVID-19 pandemic and ethical stock markets: further evidence of moral shock
    Applied Economics, 2022, 54, (42), 4874-4885
    See also Working Paper The COVID-19 pandemic and ethical stock markets: further evidence of moral shock, Post-Print (2022) (2022)

2021

19. Are oil and gas futures markets efficient? A multifractal analysis
    Applied Economics, 2021, 53, (2), 164-184 View citations (7)
20. Conventional and Islamic stock market liquidity and volatility during COVID 19
    Applied Economics, 2021, 53, (60), 6944-6963 View citations (1)
    See also Working Paper Conventional and Islamic stock market liquidity and volatility during COVID 19, Post-Print (2021) (2021)
21. Does higher unemployment lead to greater criminality? Revisiting the debate over the business cycle
    Journal of Economic Behavior & Organization, 2021, 182, (C), 448-471 View citations (11)
22. Does inequality help in forecasting equity premium in a panel of G7 countries?
    The North American Journal of Economics and Finance, 2021, 57, (C) View citations (6)
    See also Working Paper Does inequality help in forecasting equity premium in a panel of G7 countries?, Post-Print (2021) (2021)
23. Oil price volatility in the context of Covid-19
    International Economics, 2021, 167, (C), 39-49 View citations (42)
    Also in International Economics, 2021, (167), 39-49 (2021) View citations (26)
    See also Working Paper Oil price volatility in the context of Covid-19, Post-Print (2021) (2021)

2020

24. A multifactor transformed diffusion model with applications to VIX and VIX futures
    Econometric Reviews, 2020, 39, (1), 27-53
    See also Working Paper A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures, Working Papers (2018) (2018)
25. An interview with Howell Tong
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (5), 8 View citations (1)
26. Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
    Economic Modelling, 2020, 88, (C), 200-210 View citations (6)
27. Causal relationships between inflation and inflation uncertainty
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (5), 26 View citations (4)
    See also Working Paper Causal Relationships Between Inflation and Inflation Uncertainty, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2020) View citations (2) (2020)
28. Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns
    Computational Economics, 2020, 56, (1), 131-143 View citations (4)
29. Does investor attention to Islamic finance create spillover?
    Applied Economics, 2020, 52, (59), 6448-6452
30. Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
    Econometric Reviews, 2020, 39, (1), 54-70 View citations (2)
31. How does monetary policy respond to the dynamics of the shadow banking sector?
    International Journal of Finance & Economics, 2020, 25, (2), 228-247 View citations (2)
32. Introduction to Topics in Modelling Financial and Macroeconomic Time Series
    Computational Economics, 2020, 56, (1), 1-3 View citations (1)
33. The convergence of ethical investment business models and their reliance on the conventional US investment market
    Applied Economics, 2020, 52, (57), 6265-6276 View citations (1)
34. Unconventional monetary policy reaction functions: evidence from the US
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 18 View citations (2)
    See also Working Paper Unconventional monetary policy reaction functions: evidence from the US, Post-Print (2020) View citations (2) (2020)
35. 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 View citations (3)

2019

36. A statistical analysis of uncertainty for conventional and ethical stock indexes
    The Quarterly Review of Economics and Finance, 2019, 74, (C), 9-17 View citations (9)
37. Computing stock price comovements with a three-regime panel smooth transition error correction model
    Annals of Operations Research, 2019, 274, (1), 331-345 View citations (3)
38. Correction to: Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 5-5
39. Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?
    The Energy Journal, 2019, Volume 40, (Special Issue) View citations (7)
40. Does the volatility of volatility risk forecast future stock returns?
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 16-36 View citations (4)
41. Forecasting Inflation Uncertainty in the United States and Euro Area
    Computational Economics, 2019, 54, (1), 455-476 View citations (8)
42. Introduction to Advanced Statistical Analyses for Computational Economics and Finance
    Computational Economics, 2019, 54, (1), 1-3
43. 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 View citations (1)
44. Oil price collapse and challenges to economic transformation of Saudi Arabia: A time-series analysis
    Energy Economics, 2019, 80, (C), 12-19 View citations (19)
45. On the Oil Price Uncertainty
    The Energy Journal, 2019, Volume 40, (Special Issue) View citations (1)
46. On the relationship between energy returns and trading volume: a multifractal analysis
    Applied Economics, 2019, 51, (29), 3122-3136 View citations (4)
47. The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies
    International Economics, 2019, 160, (C), 3-13 View citations (35)
    Also in International Economics, 2019, (160), 3-13 (2019) View citations (35)
    See also Working Paper The nonlinear relationship between economic growth and financial development: Evidence from developing, emerging and advanced economies, Post-Print (2019) View citations (28) (2019)

2018

48. A model of fiscal dominance under the “Reinhart Conjecture”
    Journal of Economic Dynamics and Control, 2018, 93, (C), 332-345 View citations (5)
    See also Working Paper A model of fiscal dominance under the “Reinhart Conjecture”, Post-Print (2018) View citations (5) (2018)
49. An Interview with Timo Teräsvirta
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 5 View citations (1)
    See also Working Paper An interview with Timo Teräsvirta, Post-Print (2018) View citations (1) (2018)
50. 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 View citations (15)
51. Analyzing the governance structure of French banking groups
    Research in International Business and Finance, 2018, 44, (C), 40-48
    See also Working Paper Analyzing the governance structure of French banking groups, Post-Print (2018) (2018)
52. Assessing the Effect of Trade Openness on Health in the MENA Region: a Panel Data Analysis
    Open Economies Review, 2018, 29, (2), 469-479 View citations (5)
53. 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
    See also Working Paper Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s ? A nonlinear cliometric analysis, Post-Print (2018) (2018)
54. INTRODUCTION TO RECENT INSIGHTS INTO FINANCIAL, HOUSING, AND MONETARY MARKETS
    Macroeconomic Dynamics, 2018, 22, (7), 1721-1726
55. INTRODUCTION TO THE SYMPOSIUM ON INEQUALITY, UNCERTAINTY, AND MACRO‐FINANCIAL DYNAMICS
    Economic Inquiry, 2018, 56, (1), 545-546
56. MODELING INTERNATIONAL STOCK PRICE COMOVEMENTS WITH HIGH-FREQUENCY DATA
    Macroeconomic Dynamics, 2018, 22, (7), 1875-1903 View citations (5)
57. Measurement errors in stock markets
    Annals of Operations Research, 2018, 262, (2), 287-306 View citations (4)
58. Recent Developments in Macro-Econometric Modeling: Theory and Applications
    Econometrics, 2018, 6, (2), 1-5
    See also Working Paper Recent developments in macro-econometric modeling: theory and applications, Post-Print (2018) (2018)
59. 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
60. Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification
    Applied Economics, 2018, 50, (5), 559-573 View citations (10)
61. Toward a new deal for Saudi Arabia: oil or Islamic stock market investment?
    Applied Economics, 2018, 50, (59), 6355-6363 View citations (2)
62. 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 View citations (4)

2017

63. 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 View citations (5)
64. Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach
    Economic Modelling, 2017, 64, (C), 567-588 View citations (7)
65. Assessing financial and housing wealth effects through the lens of a nonlinear framework
    Research in International Business and Finance, 2017, 39, (PB), 840-850 View citations (5)
    See also Working Paper Assessing financial and housing wealth effects through the lens of a nonlinear framework, Post-Print (2017) View citations (6) (2017)
66. Does Islamic banking performance vary across regions? A new puzzle
    Applied Economics Letters, 2017, 24, (8), 567-570 View citations (2)
67. Equity prices and fundamentals: a DDM–APT mixed approach
    Review of Quantitative Finance and Accounting, 2017, 49, (3), 661-695 View citations (3)
    See also Working Paper Equity prices and fundamentals: a DDM–APT mixed approach, Post-Print (2017) View citations (1) (2017)
68. Introduction: recent developments of switching models for financial data
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 1-2 View citations (1)
    See also Working Paper Introduction: recent developments of switching models for financial data, Post-Print (2017) View citations (1) (2017)
69. Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 47-63
70. Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis
    Economic Modelling, 2017, 67, (C), 300-306 View citations (7)
71. Modelling the relationship between future energy intraday volatility and trading volume with wavelet
    Applied Economics, 2017, 49, (20), 1981-1993 View citations (6)
72. ON THE MACROECONOMIC AND WEALTH EFFECTS OF UNCONVENTIONAL MONETARY POLICY
    Macroeconomic Dynamics, 2017, 21, (5), 1189-1204 View citations (16)
73. Uncertainty and the United States’ election effect on the economy: some thoughts and empirical illustrations
    Applied Economics Letters, 2017, 24, (20), 1472-1475 View citations (2)

2016

74. Advances and challenges in decision-making, monetary policy and financial markets
    Economic Modelling, 2016, 52, (PA), 1-2 View citations (1)
    See also Working Paper Advances and challenges in decision-making, monetary policy and financial markets, Post-Print (2016) View citations (1) (2016)
75. Analyzing Heterogeneous Stock Price Comovements Through Hybrid Approaches
    Open Economies Review, 2016, 27, (3), 541-559 View citations (3)
76. Can the Islamic bank be an emerging leader? A panel data causality analysis
    Applied Economics Letters, 2016, 23, (14), 991-994 View citations (1)
77. Do Islamic and Conventional Banks Really Differ? A Panel Data Statistical Analysis
    Open Economies Review, 2016, 27, (2), 293-302 View citations (10)
78. Do Regulatory and Supervisory Reforms Affect European Bank Stability: Further Evidence from Panel Data
    Bankers, Markets & Investors, 2016, (141), 58-70 View citations (1)
79. Fiscal and monetary policies in the BRICS: A panel VAR approach
    Economic Modelling, 2016, 58, (C), 535-542 View citations (63)
80. Intraday jumps and trading volume: a nonlinear Tobit specification
    Review of Quantitative Finance and Accounting, 2016, 47, (4), 1167-1186 View citations (6)
    See also Working Paper Intraday jumps and trading volume: a nonlinear Tobit specification, Post-Print (2016) View citations (5) (2016)
81. Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach
    Emerging Markets Review, 2016, 27, (C), 84-99 View citations (30)
82. On oil-US exchange rate volatility relationships: An intraday analysis
    Economic Modelling, 2016, 59, (C), 329-334 View citations (36)
    See also Working Paper On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis, Working Papers (2017) (2017)
83. On the Reputation of Islamic Banks: a Panel Data Qualitative Econometrics Analysis
    Open Economies Review, 2016, 27, (5), 987-998 View citations (3)
84. 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 View citations (35)
85. 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

2015

86. Are Islamic stock markets efficient? A time-series analysis
    Applied Economics, 2015, 47, (16), 1686-1697 View citations (24)
87. Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter?
    Applied Economics, 2015, 47, (34-35), 3633-3650 View citations (11)
88. Recent topics in Applied Financial Economics
    Applied Economics, 2015, 47, (34-35), 3613-3616 View citations (1)
89. Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach
    Journal of Financial Markets, 2015, 26, (C), 64-84 View citations (17)

2014

90. Conventional and Islamic stock price performance: An empirical investigation
    International Economics, 2014, (137), 73-87 View citations (104)
91. Financial linkages between US sector credit default swaps markets
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 223-243 View citations (15)
92. Fiscal policy in the BRICs
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (2), 201-215 View citations (15)
    See also Working Paper Fiscal Policy in the BRICs, NIPE Working Papers (2011) View citations (9) (2011)
93. Nonlinear monetary policy reaction functions in large emerging economies: the case of Brazil and China
    Applied Economics, 2014, 46, (9), 973-984 View citations (33)
94. The Relationship between Consumption and Wealth: A Quantile Regression Approach
    Revue d'économie politique, 2014, 124, (4), 639-652 View citations (19)

2013

95. 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 View citations (44)
    See also Working Paper Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations, Grenoble Ecole de Management (Post-Print) (2013) View citations (40) (2013)
96. Boundedness and nonlinearities in public debt dynamics: A TAR assessment
    Economic Modelling, 2013, 34, (C), 154-160 View citations (12)
97. Computational tools in econometric modeling for macroeconomics and finance
    Economic Modelling, 2013, 34, (C), 1-4 View citations (1)
    See also Working Paper Computational tools in econometric modeling for macroeconomics and finance, Grenoble Ecole de Management (Post-Print) (2013) (2013)
98. 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 View citations (1)
    See also Working Paper Do the US trends drive the UK-French market linkages?: empirical evidence from a threshold intraday analysis, Grenoble Ecole de Management (Post-Print) (2013) View citations (1) (2013)
99. Information technology sector and equity markets: an empirical investigation
    Applied Financial Economics, 2013, 23, (9), 729-737 View citations (2)
100. 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
101. Modelling money demand: further evidence from an international comparison
     Applied Economics Letters, 2013, 20, (11), 1052-1055 View citations (3)
     See also Working Paper Modelling Money Demand: Further Evidence from an International Comparison, NIPE Working Papers (2012) (2012)
102. Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity
     Economic Modelling, 2013, 32, (C), 507-515 View citations (25)
     See also Working Paper Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity, NIPE Working Papers (2012) View citations (1) (2012)
103. Structural breaks and nonlinearity in US and UK public debts
     Applied Economics Letters, 2013, 20, (7), 653-657 View citations (5)
     See also Working Paper Structural Breaks and Nonlinearity in US and UK Public Debt, NIPE Working Papers (2012) (2012)
104. Testing the efficiency of the aluminium market: evidence from London metal exchange
     Applied Financial Economics, 2013, 23, (6), 483-493
105. Threshold linkages between volatility and trading volume: evidence from developed and emerging markets
     Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 313-333 View citations (7)
106. 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 View citations (10)
     See also Working Paper What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?, Post-Print (2013) View citations (9) (2013)

2012

107. Arbitrage costs and nonlinear adjustment in the G7 stock markets
     Applied Economics, 2012, 44, (12), 1561-1582 View citations (8)
     See also Working Paper Arbitrage Costs and Nonlinear Adjustment in the G7 Stock Markets, Post-Print (2011) (2011)
108. Are hedge fund clones attractive financial products for investors?
     Applied Economics Letters, 2012, 19, (8), 739-743 View citations (2)
     See also Working Paper Are hedge fund clones attractive financial products for investors, Post-Print (2012) View citations (2) (2012)
109. INTRODUCTION TO TIME-VARYING MODELING WITH MACROECONOMIC AND FINANCIAL DATA
     Macroeconomic Dynamics, 2012, 16, (S2), 167-175 View citations (2)
110. MODELING NONLINEAR AND HETEROGENEOUS DYNAMIC LINKS IN INTERNATIONAL MONETARY MARKETS
     Macroeconomic Dynamics, 2012, 16, (S2), 232-251 View citations (5)
111. Modeling hedge fund exposure to risk factors
     Economic Modelling, 2012, 29, (4), 1003-1018 View citations (11)
     See also Working Paper Modelling Hedge Fund Exposure to Risk Factors, Post-Print (2012) View citations (15) (2012)
112. NONLINEARITY, CYCLICITY, AND PERSISTENCE IN CONSUMPTION AND INCOME RELATIONSHIPS: RESEARCH IN HONOR OF MELVIN J. HINICH
     Macroeconomic Dynamics, 2012, 16, (S3), 376-393 View citations (6)
113. Nonlinear modeling of oil and stock price dynamics: segmentation or time-varying integration?
     Economics Bulletin, 2012, 32, (3), 2481-2489
114. Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
     Economic Modelling, 2012, 29, (3), 884-892 View citations (39)
     See also Working Paper Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS, Post-Print (2012) View citations (37) (2012)
115. Second International Symposium in Computational Economics and Finance
     Economics Bulletin, 2012, 32, (1), A6

2011

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

2010

120. 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
121. Financial crises, bank losses, risk management and audit: what happened?
     Applied Economics Letters, 2010, 17, (10), 1019-1022 View citations (3)
122. Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions
     Applied Financial Economics, 2010, 20, (8), 669-680 View citations (8)
     See also Working Paper Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions, Working Papers (2010) View citations (8) (2010)
123. 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 View citations (2)
     See also Working Paper On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM, Working Papers (2010) View citations (1) (2010)
124. Short and long-term links between oil prices and stock markets in Europe
     Economics Bulletin, 2010, 30, (1), 817-828 View citations (5)
125. Stock market integration in Mexico and Argentina: are short- and long-term considerations different?
     Applied Economics Letters, 2010, 17, (15), 1503-1507 View citations (5)

2009

126. Essay in dividend modelling and forecasting: does nonlinearity help?
     Applied Financial Economics, 2009, 19, (16), 1329-1343 View citations (6)
127. Nonlinear Cointegration Relationships Between Non‐Life Insurance Premiums and Financial Markets
     Journal of Risk & Insurance, 2009, 76, (3), 753-783 View citations (18)
128. Stock market integration in the Latin American markets: further evidence from nonlinear modeling
     Economics Bulletin, 2009, 29, (1), 162-168 View citations (7)
     See also Working Paper Stock market integration in the Latin American markets: further evidence from nonlinear modeling, Post-Print (2009) View citations (6) (2009)

2008

129. ARE AMERICAN AND FRENCH STOCK MARKETS INTEGRATED?
     The International Journal of Business and Finance Research, 2008, 2, (2), 107-116 View citations (7)
     See also Working Paper Are American and French Stok Markets Integrated?, Post-Print (2008) View citations (1) (2008)
130. Does nonlinear econometrics confirm the macroeconomic models of consumption?
     Economics Bulletin, 2008, 5, (17), 1-11 View citations (3)
131. ESTIMATING THE S&P FUNDAMENTAL VALUE USING STAR MODELS
     Global Journal of Business Research, 2008, 2, (1), 137-146 View citations (1)

2007

132. Co-Mouvements des marchés boursiers émergents:Intégration ou contagion ?
     Brussels Economic Review, 2007, 50, (3), 315-333 View citations (1)
133. Dynamique non-linéaire des marchés boursiers du G7: une application des modèles STAR
     Finance, 2007, 28, (1), 29-74 View citations (7)

Edited books

2018

1. Uncertainty, Expectations and Asset Price Dynamics
   Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (9)

2014

2. Market Microstructure and Nonlinear Dynamics
   Springer Books, Springer View citations (6)

Chapters

2021

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

2011

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

2010

5. Chapter 2 Nonlinear Stock Market Links between Mexico and the World
   A chapter in Nonlinear Modeling of Economic and Financial Time-Series, 2010, pp 29-39
6. Chapter 6 Oil Prices and Exchange Rates: Some New Evidence Using Linear and Nonlinear Models
   A chapter in Nonlinear Modeling of Economic and Financial Time-Series, 2010, pp 121-141 View citations (1)

2009

7. Threshold stock price adjustment
   A chapter in Measurement Error: Consequences, Applications and Solutions, 2009, pp 183-198

2008

8. THRESHOLD MEAN REVERSION IN STOCK PRICES
   Chapter 18 in Risk Management And Value Valuation and Asset Pricing, 2008, pp 477-493 View citations (2)