Samir Mabrouk : Citation Profile

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135

Citations

RESEARCH PRODUCTION:

3

Articles

RESEARCH ACTIVITY:

   2 years (2010 - 2012). See details.
   Cites by year: 67
   Journals where Samir Mabrouk has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 1 (0.74 %)

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   Permalink: http://citec.repec.org/pma1659
   Updated: 2023-03-25    RAS profile: 2017-04-07    
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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 Samir Mabrouk.

Is cited by:

Chkili, Walid (14)

Aloui, Chaker (10)

Nguyen, Duc Khuong (9)

Hammoudeh, Shawkat (7)

Wang, Yudong (4)

Perote, Javier (3)

PEGUIN-FEISSOLLE, Anne (3)

Mora-Valencia, Andrés (3)

Chikhi, Mohamed (3)

Joëts, Marc (3)

Yoon, Seong-Min (3)

Cites to:

Giot, Pierre (6)

Laurent, Sébastien (6)

Degiannakis, Stavros (5)

Bollerslev, Tim (4)

Angelidis, Timotheos (3)

Tse, Y. K. (2)

Marzo, Massimiliano (2)

Yu, Philip (2)

Kupiec, Paul (2)

Henry, Marc (2)

Davidson, James (2)

Main data

Where Samir Mabrouk has published?

Recent works citing Samir Mabrouk (2022 and 2021)

YearTitle of citing document
2021Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000334.

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2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. (2021). Patra, Saswat. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003406.

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2021Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200278x.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2021The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304011.

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2021Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. (2021). Verling, Trude Haugsvaer ; Bogaard, Katinka ; Botterud, Audun ; Negash, Ahlmahz ; Fleten, Stein-Erik ; Stein- Erik Fleten, ; Westgaard, Sjur. In: Energy. RePEc:eee:energy:v:214:y:2021:i:c:s0360544220319034.

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2021Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. (2021). Chkili, Walid ; Arfaoui, Mongi ; ben Rejeb, Aymen. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004165.

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2022Time-varying risk analysis for commodity futures. (2022). Ur, Mobeen ; Junior, Peterson Owusu ; Ahmad, Nasir ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s030142072200349x.

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2022Spillover effects between commodity and stock markets: A SDSES approach. (2022). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003701.

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2021Modeling Dynamic Multifractal Efficiency of US Electricity Market. (2021). Ferreira, Paulo ; Ali, Haider ; Aslam, Faheem. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6145-:d:644089.

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2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach. (2021). Nasir, Imran ; Sheraz, Muhammad. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:89-:d:550572.

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2021Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach. (2021). Morelli, Giacomo ; Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:144-:d:612252.

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2022Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00100-2.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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2021GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks. (2021). Buczyński, Mateusz ; Chlebus, Marcin ; Buczyski, Mateusz. In: Working Papers. RePEc:war:wpaper:2021-08.

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2021On time?varying amplitude HGARCH model. (2021). Basatini, Ferdous Mohammadi ; Rezakhah, Saeid ; Valizadeh, Toktam. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2538-2547.

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2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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2021Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

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Works by Samir Mabrouk:

YearTitleTypeCited
2010Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models In: Energy Policy.
[Full Text][Citation analysis]		article107
2012Parametric Value-at-Risk analysis: Evidence from stock indices In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article20
2010One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market In: International Journal of Financial Services Management.
[Full Text][Citation analysis]		article8

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