Walid Chkili : Citation Profile


Are you Walid Chkili?

Université de Tunis El Manar

6

H index

5

i10 index

176

Citations

RESEARCH PRODUCTION:

9

Articles

5

Papers

RESEARCH ACTIVITY:

   5 years (2011 - 2016). See details.
   Cites by year: 35
   Journals where Walid Chkili has often published
   Relations with other researchers
   Recent citing documents: 59.    Total self citations: 9 (4.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch1017
   Updated: 2017-11-18    RAS profile: 2016-10-03    
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Relations with other researchers


Works with:

Nguyen, Duc Khuong (8)

Hammoudeh, Shawkat (3)

Aloui, Chaker (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Walid Chkili.

Is cited by:

GUESMI, Khaled (6)

Tang, Bo (5)

Cuestas, Juan (5)

Manera, Matteo (4)

Krištoufek, Ladislav (3)

Masih, Abul (3)

Caporale, Guglielmo Maria (3)

Nguyen, Duc Khuong (3)

Aloui, Chaker (3)

Tiwari, Aviral (3)

Andrieș, Alin Marius (2)

Cites to:

Hammoudeh, Shawkat (55)

Nguyen, Duc Khuong (46)

McAleer, Michael (39)

Chang, Chia-Lin (24)

Aloui, Chaker (23)

Tansuchat, Roengchai (23)

Lahiani, Amine (12)

Bollerslev, Tim (11)

Engle, Robert (10)

Yoon, Seong-Min (9)

Laurent, Sébastien (8)

Main data


Where Walid Chkili has published?


Journals with more than one article published# docs
Economics Bulletin3
Journal of International Financial Markets, Institutions and Money2
Research in International Business and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / Department of Research, Ipag Business School4

Recent works citing Walid Chkili (2017 and 2016)


YearTitle of citing document
2016Stock Returns and Exchange Rate Nexus in Ghana: A Bayesian Quantile Regression Approach. (2016). Frimpong, Joseph Magnus ; Omane-Adjepong, Maurice ; Boako, Gideon. In: South African Journal of Economics. RePEc:bla:sajeco:v:84:y:2016:i:1:p:149-179.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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2016What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis. (2016). Min, Hong-Ghi ; Shin, Sang-Ook ; McDonald, Judith A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:2:min.

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2017Modelling Return and Volatility Spillovers in Global Foreign Exchange Markets. (2017). Salisu, Afees ; Fasanya, Ismail O ; Oyewole, Oluwatomisinn. In: Working Papers. RePEc:cui:wpaper:0030.

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2016Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages. (2016). Mongi, Arfaoui ; Dhouha, Hajali . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-34.

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2017Dynamic Relations between Stock Price and Exchange Rate: Evidence from South Asia. (2017). Ali, Mostafa ; Sun, Gang . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-44.

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2016The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone. (2016). Sariannidis, Nikolaos ; Billias, Ioannis ; Zafeiriou, Eleni ; Giannarakis, Grigoris . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-23.

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2016Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets. (2016). Triandaru, Sigit ; Handika, Rangga . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-04-19.

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2017The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia. (2017). Huang, Shupei ; Hao, Xiaoqing ; Wen, Shaobo ; Gao, Xiangyun . In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:667-678.

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2016A discussion on the innovation distribution of the Markov regime-switching GARCH model. (2016). Shi, Yanlin ; Feng, Lingbing . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:278-288.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

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2016Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models. (2016). Bejaoui, Azza ; Karaa, Adel . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545.

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2017Is the price of gold to gold mining stocks asymmetric?. (2017). Batten, Jonathan ; Lucey, Brian M ; Kosedag, Arman ; Ciner, Cetin . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:402-407.

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2016Euro crash risk. (2016). Kräussl, Roman ; Senulyt, Sigita ; Kraussl, Roman ; Lehnert, Thorsten . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:417-428.

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2016The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach. (2016). Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:453-463.

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2016What the investors need to know about forecasting oil futures return volatility. (2016). Wang, Yudong ; Wu, Chongfeng ; Ma, Feng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:128-139.

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2016An event study analysis of oil and gas firm acreage and reserve acquisitions. (2016). Sabet, Amir H ; Heaney, Richard . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:215-227.

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2016Oil price volatility forecast with mixture memory GARCH. (2016). Walther, Thomas ; Klein, Tony . In: Energy Economics. RePEc:eee:eneeco:v:58:y:2016:i:c:p:46-58.

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2016How is volatility in commodity markets linked to oil price shocks?. (2016). Manera, Matteo ; Behmiri, Niaz Bashiri ; Ahmadi, Maryam . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:11-23.

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2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Wen, Fenghua ; Cai, Shenghua ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Herrera, Rodrigo ; Pino, Gabriel ; Rodriguez, Alejandro . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Modelling asymmetric volatility in oil prices under structural breaks. (2017). Ewing, Bradley T ; Malik, Farooq . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:227-233.

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2017Dynamic correlation of precious metals and flight-to-quality in developed markets. (2017). Klein, Tony . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:283-290.

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2016On the time scale behavior of equity-commodity links: Implications for portfolio management. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Sjo, BO. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46.

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2016The dynamics of precious metal markets VaR: A GARCHEVT approach. (2016). Zhang, Zijing . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:14-27.

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2016Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. (2016). YAYA, OLAOLUWA ; Udomboso, Christopher G ; Tumala, Mohammed M. In: Resources Policy. RePEc:eee:jrpoli:v:49:y:2016:i:c:p:273-281.

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2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Biswal, P C ; Jain, Anshul . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206.

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2017Dependence of stock markets with gold and bonds under bullish and bearish market states. (2017). Shahbaz, Muhammad ; Ali, Azwadi ; Raza, Naveed ; Hussain, Syed Jawad . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:308-319.

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2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

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2017Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas. (2017). Boako, Gideon ; Alagidede, Paul. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:41:y:2017:i:c:p:92-114.

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2016Long memory volatility of gold price returns: How strong is the evidence from distinct economic cycles?. (2016). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:443:y:2016:i:c:p:149-160.

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2017Modeling and predicting historical volatility in exchange rate markets. (2017). Lahmiri, Salim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:387-395.

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2017Long-range dependence in returns and volatility of global gold market amid financial crises. (2017). Omane-Adjepong, Maurice ; Boako, Gideon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:188-202.

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2016BRIC or CBRI: It just doesn’t sound as sexy, does it?. (2016). Delcoure, Natalya ; Singh, Harmeet . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:230-239.

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2016Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention. (2016). Kitamura, Yoshihiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:436-446.

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2016Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. (2016). Sui, LU ; Sun, Lijuan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:459-471.

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2016Consumption, wealth, stock and housing returns: Evidence from emerging markets. (2016). Sousa, Ricardo ; Caporale, Guglielmo Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:562-578.

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2017Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory. (2017). Mghaieth, Asma ; el Mehdi, Imen Khanchel . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:595-611.

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2017China’s intervention in the central parity rate: A Bayesian Tobit analysis. (2017). Zhang, Zhichao ; Li, HE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:612-624.

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2017True or spurious long memory in European non-EMU currencies. (2017). Walther, Thomas ; Piontek, Krzysztof ; Thu, Hien Pham ; Klein, Tony . In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:217-230.

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2017On the dynamic dependence and investment performance of crude oil and clean energy stocks. (2017). Ahmad, Wasim . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:376-389.

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2017Construction of Commodity Portfolio and Its Hedge Effectiveness Gauging – Revisiting DCC Models. (2017). Mirovic, Vera ; Njegic, Jovan ; Zivkov, Dejan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:5:p:396-422.

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2017Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis. (2017). Abu, MD. In: Turkish Economic Review. RePEc:ksp:journ2:v:4:y:2017:i:2:p:239-249.

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2017Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina. (2017). de Jesus, Raul ; Salgado, Oswaldo Garcia ; Ortiz, Edgar . In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1063-1080.

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2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong . In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Ali, Azwadi ; Raza, Naveed . In: MPRA Paper. RePEc:pra:mprapa:78595.

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2017Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime-switching environment: Implications for the islamic investors and risk hedgers. (2017). Masih, Abul ; Mustapha, Ishaq Muhammad . In: MPRA Paper. RePEc:pra:mprapa:82218.

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2017Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng . In: Working Papers. RePEc:pre:wpaper:201728.

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2016Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies. (2016). Mirovi, Vera ; Ivkov, Dejan ; Njegi, Jovan . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2016:y:2016:i:6:id:591:p:686-705.

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2016Modelling Extreme Risks in Commodities and Commodity Currencies. (2016). Clements, Adam ; Herrera, Rodrigo ; Fuentes, Fernanda . In: NCER Working Paper Series. RePEc:qut:auncer:2016_06.

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2016Does the Yuans Overseas Expansion Increase the Currency Exposure of Chinese Financial Firms?. (2016). Tang, Bo ; Cuestas, Juan ; Huang, Ying Sophie . In: Working Papers. RePEc:shf:wpaper:2016006.

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2017Oil price effects over individual Portuguese stock returns. (2017). Teixeira, Rui F ; Vieira, Elisabete S ; Madaleno, Mara . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1166-5.

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2016Stock markets and effective exchange rates in European countries: threshold cointegration findings. (2016). Papadamou, Stephanos ; Kollias, Christos ; SIRIOPOULOS, COSTAS. In: Eurasian Economic Review. RePEc:spr:eurase:v:6:y:2016:i:2:d:10.1007_s40822-015-0040-7.

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2016Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. (2016). Jebran, Khalil ; Iqbal, Amjad . In: Financial Innovation. RePEc:spr:fininn:v:2:y:2016:i:1:d:10.1186_s40854-016-0021-1.

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2017Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis. (2017). Mouna, Aloui ; Anis, Jarboui . In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:8:y:2017:i:3:d:10.1007_s13132-015-0301-4.

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2016Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries. (2016). Tang, Bo ; Cuestas, Juan. In: RIEI Working Papers. RePEc:xjt:rieiwp:2016-03.

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Works by Walid Chkili:


YearTitleTypeCited
2011Modeling the volatility of Mediterranean stock markets: a regime-switching approach In: Economics Bulletin.
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article2
2012Is currency risk priced for emerging stock markets? In: Economics Bulletin.
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article0
2015Gold–oil prices co-movements and portfolio diversification implications In: Economics Bulletin.
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article0
2011Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach In: Emerging Markets Review.
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article39
2014Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory In: Energy Economics.
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article75
2014Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 75
paper
2014Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 75
paper
2012Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates In: Journal of International Financial Markets, Institutions and Money.
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article17
2014Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter? In: Journal of International Financial Markets, Institutions and Money.
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article11
2014Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries In: Research in International Business and Finance.
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article25
2014Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2016Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries In: Research in International Business and Finance.
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article6
2013Long memory and asymmetry in the volatility of commodity markets and Basel Accord: choosing between models In: Working Papers.
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2015Gold-oil prices co-movements and portfolio diversification implications In: MPRA Paper.
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paper1

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