Details about Rania Jammazi

Access statistics for papers by Rania Jammazi.

Last updated 2023-11-11. Update your information in the RePEc Author Service.

Short-id: pja272

Working Papers

2018

1. Asymmetric risk spillovers between oil and agricultural commodities
   Post-Print, HAL View citations (70)

2017

2. Sovereign Bond Market Dependencies and Crisis Transmission around the Eurozone Debt Crisis: A Dynamic Copula Approach
   Working Papers, Department of Research, Ipag Business School
   See also Journal Article Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach, Applied Economics, Taylor & Francis Journals (2018) View citations (8) (2018)
3. Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices
   Post-Print, HAL View citations (30)

2014

4. Cyclical components and dual long memory in the foreign exchange rate dynamics: the Tunisian case
   Working Papers, Department of Research, Ipag Business School View citations (7)
5. Oil Shock Transmission to Stock Market Returns: Wavelet Multivariate Markov Switching GARCH Approach
   Working Papers, Department of Research, Ipag Business School View citations (36)
   See also Journal Article Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach, Energy, Elsevier (2012) View citations (52) (2012)
6. Responses of international stock markets to oil price surges: a regimeswitching perspective
   Working Papers, Department of Research, Ipag Business School View citations (2)
   See also Journal Article Responses of international stock markets to oil price surges: a regime-switching perspective, Applied Economics, Taylor & Francis Journals (2015) View citations (17) (2015)

Journal Articles

2020

1. Spillovers across European sovereign credit markets and role of surprise and uncertainty
   Applied Economics, 2020, 52, (8), 851-865 View citations (7)

2019

2. Are Islamic bonds a good safe haven for stocks? Implications for portfolio management in a time-varying regime-switching copula framework
   Applied Economics, 2019, 51, (3), 219-238 View citations (10)

2018

3. Industry-level determinants of the linkage between credit and stock markets
   Applied Economics, 2018, 50, (49), 5277-5301 View citations (1)
4. Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View
   Computational Economics, 2018, 52, (2), 603-626 View citations (9)
5. Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach
   Applied Economics, 2018, 50, (47), 5031-5049 View citations (8)
   See also Working Paper Sovereign Bond Market Dependencies and Crisis Transmission around the Eurozone Debt Crisis: A Dynamic Copula Approach, Working Papers (2017) (2017)

2017

6. Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates
   Journal of the Operational Research Society, 2017, 68, (11), 1352-1362 View citations (7)

2015

7. A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices
   Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 173-187 View citations (40)
8. Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach
   Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 62-86 View citations (18)
9. Environment degradation, economic growth and energy consumption nexus: A wavelet-windowed cross correlation approach
   Physica A: Statistical Mechanics and its Applications, 2015, 436, (C), 110-125 View citations (14)
10. Responses of international stock markets to oil price surges: a regime-switching perspective
    Applied Economics, 2015, 47, (41), 4408-4422 View citations (17)
    See also Working Paper Responses of international stock markets to oil price surges: a regimeswitching perspective, Working Papers (2014) View citations (2) (2014)

2012

11. Cross dynamics of oil-stock interactions: A redundant wavelet analysis
    Energy, 2012, 44, (1), 750-777 View citations (82)
12. Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling
    Energy Economics, 2012, 34, (3), 828-841 View citations (113)
13. Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach
    Energy, 2012, 37, (1), 430-454 View citations (52)
    See also Working Paper Oil Shock Transmission to Stock Market Returns: Wavelet Multivariate Markov Switching GARCH Approach, Working Papers (2014) View citations (36) (2014)

2010

14. Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns
    Energy Policy, 2010, 38, (3), 1415-1435 View citations (117)

2009

15. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach
    Energy Economics, 2009, 31, (5), 789-799 View citations (169)