Khaled Mokni : Citation Profile


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17

Citations

RESEARCH PRODUCTION:

6

Articles

RESEARCH ACTIVITY:

   4 years (2015 - 2019). See details.
   Cites by year: 4
   Journals where Khaled Mokni has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 3 (15 %)

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   Permalink: http://citec.repec.org/pmo1146
   Updated: 2019-11-16    RAS profile: 2019-08-07    
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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 Khaled Mokni.

Is cited by:

Baum, Christopher (2)

Chen, Liyuan (2)

Zerilli, Paola (2)

HALKOS, GEORGE (2)

Zhang, Yue-Jun (1)

Wang, Yudong (1)

Baruník, Jozef (1)

Mora-Valencia, Andrés (1)

Chevallier, Julien (1)

He, Ling-Yun (1)

Cites to:

Bollerslev, Tim (14)

AROURI, Mohamed (13)

Fouquau, Julien (8)

Reboredo, Juan (8)

Nguyen, Duc Khuong (6)

Ratti, Ronald (6)

Hammoudeh, Shawkat (6)

Engle, Robert (5)

Narayan, Paresh (4)

Rockinger, Michael (4)

Byström, Hans (4)

Main data


Where Khaled Mokni has published?


Recent works citing Khaled Mokni (2019 and 2018)


YearTitle of citing document
2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2018Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function. (2018). Zhang, Yue-Jun ; Chen, Ming-Ying. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:64-78.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2017Dynamic Stochastic Factors, Risk Management and the Energy Futures. (2017). Guo, Zi-Yi ; Luo, Yangxiaoteng . In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:9:p:50-59.

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2019Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach. (2019). Chevallier, Julien ; Xie, Rui ; Ye, Shunxin ; Zhu, Bangzhu. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2982-0.

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Works by Khaled Mokni:


YearTitleTypeCited
2015Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach In: Energy Economics.
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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach In: Journal of Multinational Financial Management.
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2019Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach In: The Quarterly Review of Economics and Finance.
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2019Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries? In: Economies.
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2015Extreme Value Theory and long-memory-GARCH Framework: Application to Stock Market In: International Journal of Economics and Empirical Research (IJEER).
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2018EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS In: Annals of Financial Economics (AFE).
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