Details about Ahmed GHORBEL

Access statistics for papers by Ahmed GHORBEL.

Last updated 2021-05-08. Update your information in the RePEc Author Service.

Short-id: pgh144

Working Papers

2007

1. Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
   MPRA Paper, University Library of Munich, Germany View citations (2)

Journal Articles

2018

1. Optimization of a supply portfolio in the context of supply chain risk management: literature review
   Journal of Intelligent Manufacturing, 2018, 29, (4), 763-788 View citations (15)

2017

2. Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
   Journal of Applied Statistics, 2017, 44, (9), 1509-1542 View citations (10)
3. Dependence between oil price volatility, Islamic and conventional Dow Jones indexes: Implication for portfolio management and hedging effectiveness
   Journal of Asset Management, 2017, 18, (1), 29-48 View citations (1)

2015

4. Optimal hedging strategy with futures oil markets via FIEGARCH copula model
   American Journal of Finance and Accounting, 2015, 4, (2), 151-171
5. The conditional dependence structure of banking sector credit default swap indices
   International Journal of Financial Markets and Derivatives, 2015, 4, (3/4), 273-298

2014

6. Energy portfolio risk management using time-varying extreme value copula methods
   Economic Modelling, 2014, 38, (C), 470-485 View citations (32)

2013

7. The impact of global financial crisis on the dependence structure of equity markets and on risk management
   International Journal of Managerial and Financial Accounting, 2013, 5, (1), 1-32 View citations (1)

2012

8. Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
   International Journal of Managerial and Financial Accounting, 2012, 4, (1), 1-28 View citations (2)

2011

9. Design process improvement through the DMAIC Sigma approach: a wood consumption case study
   International Journal of Productivity and Quality Management, 2011, 7, (2), 229-262