Christian de Peretti : Citation Profile


Are you Christian de Peretti?

Université Claude Bernard (Lyon 1)

6

H index

5

i10 index

193

Citations

RESEARCH PRODUCTION:

16

Articles

46

Papers

RESEARCH ACTIVITY:

   19 years (2002 - 2021). See details.
   Cites by year: 10
   Journals where Christian de Peretti has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 11 (5.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde507
   Updated: 2023-01-28    RAS profile: 2022-05-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian de Peretti.

Is cited by:

Wong, Wing-Keung (47)

McAleer, Michael (18)

Lau, Chi Keung (13)

Lean, Hooi Hooi (10)

Chang, Chia-Lin (9)

GUPTA, RANGAN (7)

Phiri, Andrew (7)

Kim, Hyeongwoo (6)

Apergis, Nicholas (6)

Urga, Giovanni (4)

KARGI, Bilal (4)

Cites to:

Bollerslev, Tim (21)

Engle, Robert (15)

Davidson, Russell (15)

McAleer, Michael (14)

Wong, Wing-Keung (14)

MacKinnon, James (13)

lucey, brian (12)

TARAZI, Amine (11)

Lahiani, Amine (10)

Nguyen, Duc Khuong (9)

Caporin, Massimiliano (9)

Main data


Where Christian de Peretti has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2
Research in International Business and Finance2
Resources Policy2

Working Papers Series with more than one paper published# docs
Post-Print / HAL20
Working Papers / HAL11
Working Papers / Business School - Economics, University of Glasgow5
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)3
Documents de recherche / Centre d'tudes des Politiques conomiques (EPEE), Universit d'Evry Val d'Essonne3
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Christian de Peretti (2022 and 2021)


YearTitle of citing document
2021Review on Behavioral Finance with Empirical Evidence. (2021). Woo, Kai-Yin ; Moslehpour, Massoud ; Hon, Tai-Yuen . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:15-41.

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2021Modeling premiums of non-life insurance companies in India. (2021). Chakrabarty, Siddhartha P ; Sethi, Kartik. In: Papers. RePEc:arx:papers:2106.02446.

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2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. (2022). Lopez, Raquel ; Esparcia, Carlos ; Diaz, Antonio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:39-60.

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2021Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Yoon, Seong-Min ; Hernandez, Jose Arroeola ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000156.

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2022Is managerial ability a moderator? The effect of credit risk and liquidity risk on the likelihood of bank default. (2022). DABBOU, Halim ; Chkir, Imed ; ben Abdesslem, Rim. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000230.

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2022Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries. (2022). Barokas, Lina ; Kutuk, Yasin. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100266x.

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2022Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093.

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2022Contagion and tail risk in complex financial networks. (2022). Abduraimova, Kumushoy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x.

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2021The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. (2021). ben Maatoug, Abderrazek ; Triki, Mohamed Bilel . In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s030142072030903x.

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2021Evaluation of econometric models of secondary refined copper supply. (2021). Lagos, Gustavo ; Jara, Jose Joaquin ; Guzman, Juan Ignacio ; Rivera, Nilza. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001847.

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2021Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Bouri, Elie ; Shahzad, Farrukh. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003081.

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2021Co-movements among precious metals and implications for portfolio management: A multivariate wavelet-based dynamic analysis. (2021). Mensi, Walid ; Sultan, Jahangir ; Nekhili, Ramzi. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004281.

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2022Time-varying spillovers between trade policy uncertainty and precious metal markets: Evidence from China-US trade conflict. (2022). Qu, Jingxiao ; Ren, Xiaohang ; Huang, Yuxin ; Chen, Jinyu. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000289.

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2022Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices. (2022). Jia, Hongxiang ; Hao, Hongchang ; Yuan, Xiaojing ; Sun, Xiaoyan ; Li, Pengyuan ; Wang, Anjian ; Ma, Zhe ; Wei, Jiangqiao. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002203.

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2022A study of cross-correlations between PM2.5 and O3 based on Copula and Multifractal methods. (2022). Shi, Kai ; Wu, BO ; Liu, Chunqiong ; Zhang, Jiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008918.

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2021Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market. (2021). Sensoy, Ahmet ; Jiang, Yuexiang ; Ali, Fahad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001239.

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2022Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis. (2022). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001872.

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2021FinTech, SME efficiency and national culture: Evidence from OECD countries. (2021). Duc, Toan Luu ; Alam, Ashraful ; Abbasi, Kaleemullah. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:163:y:2021:i:c:s0040162520312804.

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2022A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence. (2022). Garcia, Noelia ; Alfaro-Cortes, Esteban ; Gamez, Matias ; Ghosh, Indranil ; Chaudhuri, Tamal Datta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:181:y:2022:i:c:s0040162522002827.

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2021Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective. (2021). Pruchnicka-Grabias, Izabela. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:3:p:716-728.

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2022Accounting and Market Risk Measures of Polish Energy Companies. (2022). Markowski, Lesaw ; Rutkowska-Ziarko, Anna. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:6:p:2138-:d:771638.

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2021.

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2021Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market.. (2021). Albouz, Nivine ; Baulant, Camille. In: Working Papers. RePEc:hal:wpaper:hal-03258994.

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2022Do board characteristics and ownership structure matter for bank non-performing loans? Empirical evidence from US commercial banks. (2022). Bouri, Abdelfettah ; Jarraya, Bilel ; Tarchouna, Ameni. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:26:y:2022:i:2:d:10.1007_s10997-020-09558-2.

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2022A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Venezia, Itzhak ; Tessler, Nina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9.

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2021The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio. (2021). Chiang, Thomas C ; Wong, Wingkeung ; Lv, Zhihui. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00069-4.

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2021Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik. In: MPRA Paper. RePEc:pra:mprapa:106684.

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2022Does the US Contagion Risk Affect Foreign Direct Investment Inflows in Emerging Economies?. (2022). Maneejuk, Paravee ; Yamaka, Woraphon. In: PIER Discussion Papers. RePEc:pui:dpaper:192.

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2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09.

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2022Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan. (2022). Jehan, Zainab ; Javed, Aamir ; Rashid, Abdul ; Iqbal, Uzma. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:3:p:144-166.

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2021Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. (2021). Ferraro, Giovanna ; Pierini, Andrea ; Naccarato, Alessia. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03225-y.

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2021Investor behavior and weather factors: evidences from Asian region. (2021). Kathiravan, Chinnadurai ; Venkateswar, Sankaran ; Selvam, Murugesan ; Balakrishnan, S. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03335-7.

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2022Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. (2022). Louhichi, Wael ; Ftiti, Zied ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04172-3.

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2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. (2022). Özdemir, Onur. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00319-0.

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2022The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9.

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2021An Empirical Analysis of Stochastic Dominance and Portfolio Selection in the Stock Market: Evidence from Nigeria. (2021). Ogbeide, Sunday Oseiweh ; Eburajolo, Courage Ose. In: Izvestiya. RePEc:vrn:journl:y:2021:i:4:p:412-428.

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Works by Christian de Peretti:


YearTitleTypeCited
2013IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES In: Manchester School.
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2008Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries.(2008) In: SIRE Discussion Papers.
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2004Neural Tests for Conditional Heteroskedasticity in ARCH-M Models In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2013Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries In: Annals of Economics and Finance.
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article1
2004Stopping Tests in the Sequential Estimation for Multiple Structural Breaks In: Econometric Society 2004 Latin American Meetings.
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paper6
2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers.
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2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers.
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2011A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers.
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2007A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche.
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2008A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers.
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2009A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers.
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2011A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers.
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2007Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models In: Computational Statistics & Data Analysis.
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article2
2010Graphical methods for investigating the finite-sample properties of confidence regions In: Computational Statistics & Data Analysis.
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article1
2012Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach In: Journal of Empirical Finance.
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article53
2020Dynamics and causality in distribution between spot and future precious metals: A copula approach In: Resources Policy.
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2021Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches In: Resources Policy.
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article2
2019Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach In: Research in International Business and Finance.
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article3
2020The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa In: Research in International Business and Finance.
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article1
2019International risk spillover in sovereign credit markets: an empirical analysis In: Managerial Finance.
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2017International risk spillover in the sovereign credit markets: An empirical analysis.(2017) In: Working Papers.
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2008Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal In: Documents de recherche.
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2008Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices In: Documents de recherche.
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2008Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers.
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2018A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier In: Post-Print.
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2015A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier.(2015) In: Post-Print.
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2018Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier In: Post-Print.
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2018Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier.(2018) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 6
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2009A strong hysteretic model of Okun’s Law: theory and a preliminary investigation In: Post-Print.
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2009A strong hysteretic model of Okuns Law: Theory and a preliminary investigation.(2009) In: Post-Print.
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2009A strong hysteretic model of Okuns Law: theory and a preliminary investigation.(2009) In: International Review of Applied Economics.
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2018The Credit Default Swap market contagion during recent crises: International evidence In: Post-Print.
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2019The Credit Default Swap market contagion during recent crises: international evidence.(2019) In: Review of Quantitative Finance and Accounting.
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2017“Reserve modelling and the aggregation of risks using time varying copula models In: Post-Print.
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2018Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis In: Post-Print.
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2017Do political connections affect banks leverage? Evidence from some MENA countries In: Post-Print.
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2017Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model In: Post-Print.
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2016Pricing Perpetual Turbo-Warrants In: Post-Print.
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2015Median-Based Nonparametric Estimation of Returns in Mean-Down Side Risk Portfolio Frontier In: Post-Print.
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2014Effect of the Use of Derivative Instruments on Bank’s Performance: Evidence from Emerging and Recently Developed Countries In: Post-Print.
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2015Le traitement de l’incertitude dans les évaluations médico-économiques In: Post-Print.
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2017The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan In: Post-Print.
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2016Solvency capital requirement for a temporal dependent losses in insurance In: Post-Print.
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2015The Effect of Derivative Instrument Use on stock return performance: Evidence from Banks in Emerging and Recently Developed Countries In: Post-Print.
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2016Does derivative instruments use increase accounting performance of banks in emerging and recently developed countries In: Post-Print.
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paper1
2011Pegfilgrastim versus Filgrastim after high-dose chemotherapy and autologous stem cell transplantation in adult patients with lymphoma and myeloma: cost-effectiveness evaluation alongside a randomized In: Post-Print.
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2016A cost-effectiveness analysis of the ZIRA test in breast cancer In: Post-Print.
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2016Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization In: Working Papers.
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2016Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization.(2016) In: Working Papers.
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2017Do political connections affect banks leverage? Evidence from some Middle Eastern and North African countries In: Working Papers.
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2019Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries.(2019) In: Journal of Management & Governance.
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2020Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches. In: Working Papers.
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2018On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap In: Working Papers.
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2018Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A Self-Exciting Threshold Autoregression approach In: Working Papers.
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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market In: Working Papers.
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2018The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region In: Working Papers.
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2019The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic In: Working Papers.
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2018Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models In: Working Papers.
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2003Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market In: Computational Economics.
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2002unilateral and bilateral bootstrap tests for long memory In: Computing in Economics and Finance 2002.
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2006Bootstrapping Neural tests for conditional heteroskedasticity In: Computing in Economics and Finance 2006.
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2006Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory In: Computing in Economics and Finance 2006.
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