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Details about Duc Khuong Nguyen

Homepage:https://www.nguyenduckhuong.org/
Workplace:Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)

Access statistics for papers by Duc Khuong Nguyen.

Last updated 2019-05-14. Update your information in the RePEc Author Service.

Short-id: png97


Jump to Journal Articles Edited books Chapters

Working Papers

2019

  1. Cojumps and asset allocation in international equity markets
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2019)

2018

  1. Dynamic connectedness of global currencies: a conditional Granger-causality approach
    Working Papers, HAL Downloads
  2. Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (3)

2017

  1. Fiscal Policy Interventions at the Zero Lower Bound
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2018)

2016

  1. Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach
    Post-Print, HAL Downloads
    See also Journal Article in Bankers, Markets & Investors (2016)
  2. Assessing the effects of unconventional monetary policy on pension funds risk incentives
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of International Money and Finance (2017)
  4. Does Board Gender Diversity Make a Difference - New Evidence from Quantile Regression Analysis
    Post-Print, HAL
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (5)
  5. Dynamic global linkages of the BRICS stock markets with the U.S. and Europe under external crisis shocks: Implications for portfolio risk forecasting
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Applied Economics (2017)
  7. Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in European Journal of Operational Research (2017)
  8. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in European Journal of Operational Research (2017)
  9. The role of trade openness and investment in examining the energy-growth-pollution nexus: Empirical evidence for China and India
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)

2015

  1. Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article in Applied Economics (2018)
  2. Energy markets׳ financialization, risk spillovers, and pricing models
    Post-Print, HAL View citations (2)
  3. Modeling inflation shifts and persistence in Tunisia: Perspectives from an evolutionary spectral approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (3)

2014

  1. Assessing the efficiency of the MENA emerging stock markets: A sectoral perspective
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
  2. Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices
    Post-Print, HAL Downloads View citations (54)
    See also Journal Article in Energy Policy (2014)
  3. Asymmetric and nonlinear passthrough of energy prices to CO2 emission allowance prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (2)
    Also in NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (21)
  4. Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area
    Working Papers, Department of Research, Ipag Business School Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  5. Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
    Working Papers, Department of Research, Ipag Business School Downloads View citations (13)
    Also in Working Papers, Department of Research, Ipag Business School (2013) Downloads View citations (1)
    Working Papers, University of Pretoria, Department of Economics (2013) View citations (1)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  6. Carbon emissions - income relationships with structural breaks: the case of the Middle East and North African countries
    Working Papers, Department of Research, Ipag Business School Downloads View citations (34)
  7. Causal interactions between CO2 emissions, FDI, and economic growth: Evidence from dynamic simultaneous-equation models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (52)
    See also Journal Article in Economic Modelling (2014)
  8. China’s Monetary Policy and Commodity Prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (13)
  9. Corporate performance of privatized firms in Vietnam
    Working Papers, Department of Research, Ipag Business School Downloads View citations (3)
  10. Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
    Working Papers, Department of Research, Ipag Business School Downloads View citations (15)
    See also Journal Article in Energy Economics (2014)
  11. Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets
    Working Papers, Department of Research, Ipag Business School Downloads View citations (6)
  12. Do global factors impact BRICS stock markets? A quantile regression approach
    Working Papers, Department of Research, Ipag Business School Downloads View citations (81)
    See also Journal Article in Emerging Markets Review (2014)
  13. Does the Glass Ceiling Exist? A Longitudinal Study of Women’s Progress on French Corporate Boards
    Working Papers, Department of Research, Ipag Business School Downloads View citations (2)
  14. Dynamic spillovers among major energy and cereal commodity prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (68)
    See also Journal Article in Energy Economics (2014)
  15. Energy prices and CO2 emission allowance prices: A quantile regression approach
    Working Papers, Department of Research, Ipag Business School Downloads View citations (39)
    Also in NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (22)

    See also Journal Article in Energy Policy (2014)
  16. Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
    Working Papers, Department of Research, Ipag Business School Downloads View citations (29)
    See also Journal Article in Research in International Business and Finance (2014)
  17. Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period
    Working Papers, Department of Research, Ipag Business School Downloads View citations (12)
    See also Journal Article in Applied Economics (2014)
  18. On the detection of extreme movements and persistent behavior in Mediterranean stock markets: a wavelet-based approach
    Working Papers, Department of Research, Ipag Business School Downloads View citations (4)
    See also Journal Article in Applied Economics (2014)
  19. Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis
    Working Papers, Department of Research, Ipag Business School Downloads View citations (21)
    See also Journal Article in Applied Financial Economics (2014)
  20. Responses of international stock markets to oil price surges: a regimeswitching perspective
    Working Papers, Department of Research, Ipag Business School Downloads
    See also Journal Article in Applied Economics (2015)
  21. Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk
    Working Papers, Eastern Mediterranean University, Department of Economics Downloads
    See also Journal Article in Energy Economics (2016)
  22. Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests
    Working Papers, Department of Research, Ipag Business School Downloads View citations (9)
    See also Journal Article in Economic Modelling (2013)
  23. The short- and long-term performance of privatization initial public offerings in Europe
    Working Papers, Department of Research, Ipag Business School Downloads
  24. Time-scale comovement between the Indian and world stock markets
    Working Papers, Department of Research, Ipag Business School Downloads
  25. US Monetary Policy and Commodity Sector Prices
    Working Papers, Department of Research, Ipag Business School Downloads View citations (18)
  26. Understanding return and volatility spillovers among major agricultural commodities
    Working Papers, Department of Research, Ipag Business School Downloads View citations (21)
  27. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    Working Papers, Department of Research, Ipag Business School Downloads View citations (93)
    Also in Working Papers, Department of Research, Ipag Business School (2014) Downloads View citations (92)

    See also Journal Article in Energy Economics (2014)
  28. What explains the short
    Working Papers, Department of Research, Ipag Business School Downloads View citations (3)
  29. World gold prices and stock returns in China: insights for hedging and diversification strategies
    Working Papers, Department of Research, Ipag Business School Downloads View citations (9)
    Also in Working Papers, HAL (2013) Downloads View citations (5)

    See also Journal Article in Economic Modelling (2015)

2013

  1. A wavelet-based copula approach for modeling market risk in agricultural commodity markets
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads View citations (12)
  2. Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    Also in Working Papers, Department of Research, Ipag Business School (2013) Downloads View citations (5)
  3. How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
    Working Papers, Department of Research, Ipag Business School Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2014)
  4. Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models
    Working Papers, Department of Research, Ipag Business School Downloads
  5. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
    Working Papers, HAL Downloads View citations (4)
    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  6. On the relationship between world oil prices and GCC stock markets
    Working Papers, HAL Downloads View citations (3)
    See also Journal Article in Journal of Quantitative Economics (2012)
  7. On the short- and long-run efficiency of energy and precious metal markets
    Working Papers, HAL Downloads View citations (15)
    See also Journal Article in Energy Economics (2013)
  8. Regional integration of stock markets in Southeast Europe
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
  9. What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?
    Post-Print, HAL
    Also in Working Papers, HAL (2010) Downloads

    See also Journal Article in Journal of Macroeconomics (2013)

2012

  1. Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
    Post-Print, HAL View citations (64)
    Also in Working Papers, HAL (2010) Downloads View citations (4)
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam (2010) Downloads View citations (20)

    See also Journal Article in Energy Economics (2012)
  2. Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS
    Post-Print, HAL View citations (3)
    See also Journal Article in Economic Modelling (2012)

2011

  1. How strong is the global integration of emerging market regions? An empirical assessment
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (37)
    See also Journal Article in Economic Modelling (2011)
  2. Return and volatility transmission between world oil prices and stock markets of the GCC countries
    EcoMod2011, EcoMod Downloads View citations (64)
    See also Journal Article in Economic Modelling (2011)

2010

  1. Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2011)
  2. 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)
  3. Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads View citations (1)
  4. Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade
    Working Papers, HAL Downloads View citations (159)
    See also Journal Article in Energy Policy (2010)
  5. Synchronization and nonlinear interdependence of short-term interest rates
    Working Papers, HAL Downloads
  6. Time-varying Predictability in Crude Oil Markets: The Case of GCC Countries
    Working Papers, HAL Downloads View citations (19)
    See also Journal Article in Energy Policy (2010)

2008

  1. THE COMOVEMENTS IN INTERNATIONAL STOCK MARKETS: NEW EVIDENCE FROM LATIN AMERICAN EMERGING COUNTRIES
    Working Papers, HAL Downloads View citations (1)
    Also in Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam (2007) Downloads

    See also Journal Article in Applied Economics Letters (2010)

2007

  1. Does Macroeconomic Transparency Help Governments Be Solvent? Evidence from Recent Data
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads
    See also Chapter (2008)
  2. Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility
    Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam Downloads

Undated

  1. Forecasting the Conditional Volatility of Spot and Futures Oil Prices with Structural Breaks and Long Memory Models
    EcoMod2010, EcoMod Downloads
  2. What explains the short-term dynamics of the prices of CO2 emissions?
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (28)
    See also Journal Article in Energy Economics (2014)

Journal Articles

2019

  1. Cojumps and asset allocation in international equity markets
    Journal of Economic Dynamics and Control, 2019, 98, (C), 1-22 Downloads
    See also Working Paper (2019)

2018

  1. A tale of two risks in the EMU sovereign debt markets
    Economics Letters, 2018, 172, (C), 102-106 Downloads
  2. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
    Applied Economics, 2018, 50, (53), 5712-5727 Downloads View citations (2)
    See also Working Paper (2015)
  3. Fiscal policy interventions at the zero lower bound
    Journal of Economic Dynamics and Control, 2018, 93, (C), 297-314 Downloads
    See also Working Paper (2017)
  4. Governance issues in business and finance in the wake of the global financial crisis
    Journal of Management & Governance, 2018, 22, (1), 1-5 Downloads
  5. Market integration and financial linkages among stock markets in Pacific Basin countries
    Journal of Empirical Finance, 2018, 46, (C), 77-92 Downloads View citations (3)
  6. Reprint of: Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives
    Journal of Banking & Finance, 2018, 92, (C), 340-357 Downloads View citations (1)
  7. Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach
    Applied Economics, 2018, 50, (47), 5031-5049 Downloads
  8. The shifting dependence dynamics between the G7 stock markets
    Quantitative Finance, 2018, 18, (5), 801-812 Downloads View citations (1)
  9. Value‐at‐risk under market shifts through highly flexible models
    Journal of Forecasting, 2018, 37, (8), 790-804 Downloads

2017

  1. Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives
    Journal of Banking & Finance, 2017, 77, (C), 35-52 Downloads View citations (3)
  2. Black swan events and safe havens: The role of gold in globally integrated emerging markets
    Journal of International Money and Finance, 2017, 73, (PB), 317-334 Downloads View citations (12)
    See also Working Paper (2016)
  3. Can investors of Chinese energy stocks benefit from diversification into commodity futures?
    Economic Modelling, 2017, 66, (C), 184-200 Downloads View citations (1)
  4. 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 Downloads
  5. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
    Applied Economics, 2017, 49, (25), 2409-2427 Downloads View citations (2)
    See also Working Paper (2016)
  6. Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets
    European Journal of Operational Research, 2017, 256, (3), 945-961 Downloads View citations (13)
    See also Working Paper (2016)
  7. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
    European Journal of Operational Research, 2017, 259, (3), 1121-1131 Downloads View citations (2)
    See also Working Paper (2016)
  8. On the robustness of week-day effect to error distributional assumption: International evidence
    Journal of International Financial Markets, Institutions and Money, 2017, 47, (C), 114-130 Downloads View citations (1)
  9. The role of trade openness and investment in examining the energy-growth-pollution nexus: empirical evidence for China and India
    Applied Economics, 2017, 49, (40), 4083-4098 Downloads View citations (2)
    See also Working Paper (2016)

2016

  1. Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach
    Bankers, Markets & Investors, 2016, (141), 20-34 Downloads
    See also Working Paper (2016)
  2. Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models
    Review of International Economics, 2016, 24, (1), 1-19 Downloads View citations (13)
  3. Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting
    The World Economy, 2016, 39, (11), 1703-1727 Downloads View citations (1)
  4. Global financial crisis and spillover effects among the U.S. and BRICS stock markets
    International Review of Economics & Finance, 2016, 42, (C), 257-276 Downloads View citations (20)
  5. Impact of speculation and economic uncertainty on commodity markets
    International Review of Financial Analysis, 2016, 43, (C), 115-127 Downloads View citations (25)
  6. On the time scale behavior of equity-commodity links: Implications for portfolio management
    Journal of International Financial Markets, Institutions and Money, 2016, 41, (C), 30-46 Downloads View citations (16)
  7. Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis
    Economic Modelling, 2016, 52, (PB), 322-331 Downloads View citations (10)
  8. Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk
    Energy Economics, 2016, 54, (C), 159-172 Downloads View citations (23)
    See also Working Paper (2014)
  9. Symposium Editorial: Recent issues in the analysis of energy prices
    European Journal of Comparative Economics, 2016, 13, (1), 63-65 Downloads

2015

  1. 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 Downloads View citations (12)
  2. An empirical analysis of energy cost pass-through to CO2 emission prices
    Energy Economics, 2015, 49, (C), 149-156 Downloads View citations (9)
  3. Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
    Emerging Markets Review, 2015, 24, (C), 101-121 Downloads View citations (25)
  4. Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test
    Economic Systems, 2015, 39, (2), 288-300 Downloads View citations (19)
  5. Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (5), 609-624 Downloads View citations (12)
    See also Working Paper (2014)
  6. Dynamic convergence of commodity futures: Not all types of commodities are alike
    Resources Policy, 2015, 44, (C), 150-160 Downloads View citations (16)
  7. Energy conservation policies, growth and trade performance: Evidence of feedback hypothesis in Pakistan
    Energy Policy, 2015, 80, (C), 1-10 Downloads View citations (40)
  8. Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
    Resources Policy, 2015, 46, (P2), 1-11 Downloads View citations (10)
  9. On the relationships between CO2 emissions, energy consumption and income: The importance of time variation
    Energy Economics, 2015, 49, (C), 629-638 Downloads View citations (31)
  10. Responses of international stock markets to oil price surges: a regime-switching perspective
    Applied Economics, 2015, 47, (41), 4408-4422 Downloads View citations (6)
    See also Working Paper (2014)
  11. Testing for asymmetric causality between U.S. equity returns and commodity futures returns
    Finance Research Letters, 2015, 12, (C), 38-47 Downloads View citations (10)
  12. US monetary policy and sectoral commodity prices
    Journal of International Money and Finance, 2015, 57, (C), 61-85 Downloads View citations (19)
  13. World gold prices and stock returns in China: Insights for hedging and diversification strategies
    Economic Modelling, 2015, 44, (C), 273-282 Downloads View citations (48)
    See also Working Paper (2014)

2014

  1. Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices
    Energy Policy, 2014, 65, (C), 567-573 Downloads View citations (56)
    See also Working Paper (2014)
  2. Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 367-378 Downloads View citations (16)
    See also Working Paper (2014)
  3. Causal interactions between CO2 emissions, FDI, and economic growth: Evidence from dynamic simultaneous-equation models
    Economic Modelling, 2014, 42, (C), 382-389 Downloads View citations (52)
    See also Working Paper (2014)
  4. Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
    Energy Economics, 2014, 42, (C), 332-342 Downloads View citations (15)
    See also Working Paper (2014)
  5. Dependence of stock and commodity futures markets in China: Implications for portfolio investment
    Emerging Markets Review, 2014, 21, (C), 183-200 Downloads View citations (19)
  6. Do global factors impact BRICS stock markets? A quantile regression approach
    Emerging Markets Review, 2014, 19, (C), 1-17 Downloads View citations (83)
    See also Working Paper (2014)
  7. Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
    Pacific-Basin Finance Journal, 2014, 30, (C), 189-206 Downloads View citations (39)
  8. Dynamic spillovers among major energy and cereal commodity prices
    Energy Economics, 2014, 43, (C), 225-243 Downloads View citations (75)
    See also Working Paper (2014)
  9. Energy prices and CO2 emission allowance prices: A quantile regression approach
    Energy Policy, 2014, 70, (C), 201-206 Downloads View citations (41)
    See also Working Paper (2014)
  10. Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries
    Research in International Business and Finance, 2014, 31, (C), 46-56 Downloads View citations (42)
    See also Working Paper (2014)
  11. 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 (10)
  12. How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
    Journal of International Financial Markets, Institutions and Money, 2014, 28, (C), 213-227 Downloads View citations (43)
    See also Working Paper (2013)
  13. Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 354-366 Downloads View citations (16)
  14. Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period
    Applied Economics, 2014, 46, (18), 2167-2177 Downloads View citations (51)
    See also Working Paper (2014)
  15. On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach
    Applied Economics, 2014, 46, (22), 2611-2622 Downloads View citations (4)
    See also Working Paper (2014)
  16. Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis
    Applied Financial Economics, 2014, 24, (21), 1367-1373 Downloads View citations (42)
    See also Working Paper (2014)
  17. Time-varying regional integration of stock markets in Southeast Europe
    Applied Economics, 2014, 46, (11), 1279-1290 Downloads View citations (6)
  18. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
    Energy Economics, 2014, 41, (C), 1-18 Downloads View citations (105)
    See also Working Paper (2014)
  19. What explain the short-term dynamics of the prices of CO2 emissions?
    Energy Economics, 2014, 46, (C), 122-135 Downloads View citations (39)
    See also Working Paper

2013

  1. A time-varying copula approach to oil and stock market dependence: The case of transition economies
    Energy Economics, 2013, 39, (C), 208-221 Downloads View citations (59)
  2. Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach
    Journal of International Money and Finance, 2013, 32, (C), 719-738 Downloads View citations (77)
  3. Further evidence on the determinants of regional stock market integration in Latin America
    European Journal of Comparative Economics, 2013, 10, (3), 397-413 Downloads View citations (3)
  4. Information technology sector and equity markets: an empirical investigation
    Applied Financial Economics, 2013, 23, (9), 729-737 Downloads
  5. On the short- and long-run efficiency of energy and precious metal markets
    Energy Economics, 2013, 40, (C), 832-844 Downloads View citations (13)
    See also Working Paper (2013)
  6. Testing the relationships between energy consumption and income in G7 countries with nonlinear causality tests
    Economic Modelling, 2013, 35, (C), 126-133 Downloads View citations (22)
    See also Working Paper (2014)
  7. 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 (2013)

2012

  1. An international CAPM for partially integrated markets: Theory and empirical evidence
    Journal of Banking & Finance, 2012, 36, (9), 2473-2493 Downloads View citations (31)
  2. Assessing the impacts of oil price fluctuations on stock returns in emerging markets
    Economic Modelling, 2012, 29, (6), 2686-2695 Downloads View citations (62)
  3. Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 738-757 Downloads View citations (33)
  4. Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
    Energy Economics, 2012, 34, (1), 283-293 Downloads View citations (64)
    See also Working Paper (2012)
  5. Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
    The Quarterly Review of Economics and Finance, 2012, 52, (2), 207-218 Downloads View citations (81)
    See also Working Paper (2013)
  6. MODELING NONLINEAR AND HETEROGENEOUS DYNAMIC LINKS IN INTERNATIONAL MONETARY MARKETS
    Macroeconomic Dynamics, 2012, 16, (S2), 232-251 Downloads View citations (3)
  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)
    See also Working Paper (2012)
  9. Oil-stock volatility transmission, portfolio selection and hedging
    Economics Bulletin, 2012, 32, (4), 2768-2778 Downloads
  10. On the Relationship between World Oil Prices and GCC Stock Markets
    Journal of Quantitative Economics, 2012, 10, (1), 98-120 Downloads View citations (5)
    See also Working Paper (2013)
  11. On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
    Energy Economics, 2012, 34, (2), 611-617 Downloads View citations (112)

2011

  1. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
    Journal of Banking & Finance, 2011, 35, (1), 130-141 Downloads View citations (177)
    See also Working Paper (2010)
  2. How strong is the global integration of emerging market regions? An empirical assessment
    Economic Modelling, 2011, 28, (6), 2517-2527 Downloads View citations (25)
    See also Working Paper (2011)
  3. Modeling the volatility of Mediterranean stock markets: a regime-switching approach
    Economics Bulletin, 2011, 31, (2), 1105-1113 Downloads View citations (6)
  4. Return and volatility transmission between world oil prices and stock markets of the GCC countries
    Economic Modelling, 2011, 28, (4), 1815-1825 Downloads View citations (79)
    See also Working Paper (2011)
  5. Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management
    Journal of International Money and Finance, 2011, 30, (7), 1387-1405 Downloads View citations (166)

2010

  1. 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)
  2. Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade
    Energy Policy, 2010, 38, (8), 4528-4539 Downloads View citations (138)
    See also Working Paper (2010)
  3. 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)
  4. Stock returns and oil price fluctuations: short and long-run analysis in the GCC context
    International Journal of Global Energy Issues, 2010, 33, (3/4), 121-138 Downloads View citations (2)
  5. The comovements in international stock markets: new evidence from Latin American emerging countries
    Applied Economics Letters, 2010, 17, (13), 1323-1328 Downloads View citations (14)
    See also Working Paper (2008)
  6. Time-varying predictability in crude-oil markets: the case of GCC countries
    Energy Policy, 2010, 38, (8), 4371-4380 Downloads View citations (32)
    See also Working Paper (2010)

2009

  1. Does financing behavior of Tunisian firms follow the predictions of the market timing theory of capital structure?
    Economics Bulletin, 2009, 29, (1), 169-181 Downloads View citations (1)
  2. Time-varying characteristics of cross-market linkages with empirical application to Gulf stock markets
    Managerial Finance, 2009, 36, (1), 57-70 Downloads View citations (14)

2008

  1. An empirical analysis of structural changes in emerging market volatility
    Economics Bulletin, 2008, 6, (10), 1-10 Downloads View citations (4)
  2. More on corporate diversification, firm size and value creation
    Economics Bulletin, 2008, 7, (3), 1-7 Downloads View citations (2)
  3. Stock market liberalization, structural breaks and dynamic changes in emerging market volatility
    Review of Accounting and Finance, 2008, 7, (4), 396-411 Downloads View citations (3)
  4. The global and regional factors in the volatility of emerging sovereign bond markets
    American Journal of Finance and Accounting, 2008, 1, (1), 52-68 Downloads

Edited books

2014

  1. Corporate Governance and Corporate Social Responsibility:Emerging Markets Focus
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads
  2. Corporate Governance in Emerging Markets
    CSR, Sustainability, Ethics & Governance, Springer View citations (3)

2013

  1. Emerging Markets and the Global Economy
    Elsevier Monographs, Elsevier Downloads View citations (1)

Chapters

2008

  1. DOES MACROECONOMIC TRANSPARENCY HELP GOVERNMENTS BE SOLVENT?: EVIDENCE FROM RECENT DATA
    Chapter 25 in Risk Management And Value Valuation and Asset Pricing, 2008, pp 615-631 Downloads
    See also Working Paper (2007)
 
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