3
H index
2
i10 index
135
Citations
| 3 H index 2 i10 index 135 Citations RESEARCH PRODUCTION: 3 Articles RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Year | Title of citing document |
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2021 | Risk 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. Full description at Econpapers || Download paper |
2021 | Revisiting 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. Full description at Econpapers || Download paper |
2021 | Oil 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. Full description at Econpapers || Download paper |
2022 | Dynamic 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. Full description at Econpapers || Download paper |
2022 | Implications 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. Full description at Econpapers || Download paper |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Performing 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. Full description at Econpapers || Download paper |
2021 | Does 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. Full description at Econpapers || Download paper |
2022 | Time-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. Full description at Econpapers || Download paper |
2022 | Spillover 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. Full description at Econpapers || Download paper |
2021 | Modeling 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Information-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. Full description at Econpapers || Download paper |
2021 | Multivariate 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. Full description at Econpapers || Download paper |
2022 | Oil 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. Full description at Econpapers || Download paper |
2021 | Modeling 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. Full description at Econpapers || Download paper |
2022 | Quantitative 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. Full description at Econpapers || Download paper |
2021 | GARCHNet - 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. Full description at Econpapers || Download paper |
2021 | On 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. Full description at Econpapers || Download paper |
2021 | Backtesting 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. Full description at Econpapers || Download paper |
2021 | Volatility 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. Full description at Econpapers || Download paper |
2021 | Time?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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models In: Energy Policy. [Full Text][Citation analysis] | article | 107 |
2012 | Parametric Value-at-Risk analysis: Evidence from stock indices In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 20 |
2010 | One-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] | article | 8 |
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