Details about Bilel Sanhaji

Access statistics for papers by Bilel Sanhaji.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: psa1453

Working Papers

2023

1. Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
   Post-Print, HAL
   See also Journal Article Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices, Stats, MDPI (2023) (2023)
2. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum
   Post-Print, HAL View citations (2)
   Also in Post-Print, HAL (2023) View citations (1)
   See also Journal Article Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum, Econometrics, MDPI (2023) View citations (2) (2023)

2021

3. Routledge Advances in Applied Financial Econometrics
   Post-Print, HAL
   Also in Post-Print, HAL (2021)

2019

4. Financial Mathematics, Volatility and Covariance Modelling
   Post-Print, HAL View citations (8)
5. International Financial Markets
   Post-Print, HAL View citations (1)

2017

6. Testing for Nonlinearity in Conditional Covariances
   Post-Print, HAL
   Also in Post-Print, HAL (2017)
   See also Journal Article Testing for Nonlinearity in Conditional Covariances, Journal of Time Series Econometrics, De Gruyter (2017) (2017)

2016

7. Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models
   Post-Print, HAL View citations (1)
   See also Journal Article Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models, Annals of Economics and Statistics, GENES (2016) View citations (1) (2016)

2015

8. Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)
   AMSE Working Papers, Aix-Marseille School of Economics, France
   Also in Working Papers, HAL (2015) View citations (1)
9. Volatility spillovers across daytime and overnight information between China and world equity markets
   Post-Print, HAL
   See also Journal Article Volatility spillovers across daytime and overnight information between China and world equity markets, Applied Economics, Taylor & Francis Journals (2015) View citations (2) (2015)

Journal Articles

2024

1. Collapse of Silicon Valley Bank and USDC Depegging: A Machine Learning Experiment
   FinTech, 2024, 3, (4), 1-22

2023

2. Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices
   Stats, 2023, 6, (4), 1-32
   See also Working Paper Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices, Post-Print (2023) (2023)
3. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum
   Econometrics, 2023, 11, (3), 1-36 View citations (2)
   See also Working Paper Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum, Post-Print (2023) View citations (2) (2023)

2017

4. Testing for Nonlinearity in Conditional Covariances
   Journal of Time Series Econometrics, 2017, 9, (2), 22
   See also Working Paper Testing for Nonlinearity in Conditional Covariances, Post-Print (2017) (2017)

2016

5. Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models
   Annals of Economics and Statistics, 2016, (123-124), 77-101 View citations (1)
   See also Working Paper Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models, Post-Print (2016) View citations (1) (2016)

2015

6. Volatility spillovers across daytime and overnight information between China and world equity markets
   Applied Economics, 2015, 47, (50), 5407-5431 View citations (2)
   See also Working Paper Volatility spillovers across daytime and overnight information between China and world equity markets, Post-Print (2015) (2015)