Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Kamel Malik Bensafta"'
Autor:
Gervasio Semedo, Kamel Malik Bensafta
Publikováno v:
International Economic Journal. 28:559-588
We examine market volatility spillover during calm and crisis periods. First, we define endogenous and exogenous market volatility: endogenous volatility refers to the early part of uncertainty in the market, while, exogenous volatility is not fully
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::264fa067f071232bb85dc26be3835683
https://doi.org/10.1080/10168737.2014.907580
https://doi.org/10.1080/10168737.2014.907580
Autor:
Semedo Gervasio, Kamel Malik Bensafta
Publikováno v:
Revue économique. 62:277-311
Cet article etudie, a travers un echantillon de onze indices, la dynamique multi-variee des rendements de differents marches boursiers d’Europe, d’Amerique du Nord et d’Asie entre 1985 et 2007, particulierement en periode de crise. Les moyennes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::494ba9c9a4ee094327f3d45f12f5bd38
https://doi.org/10.3917/reco.622.0277
https://doi.org/10.3917/reco.622.0277
Autor:
Kamel malik Bensafta
Publikováno v:
Economics Bulletin. 30(4):2920-2935
This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causalit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::31373376dd1aff5635504bc54f0a8760
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P268.pdf
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I4-P268.pdf
Autor:
Kamel Malik Bensafta
in this paper we explore the relationship between manufactured export product ratio and wealth. We are especially interested to Algeria because of it appurtenance to the mono-exporter countries group. Our results indicate a threshold effect. Positive
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1b3bcc8443c2e845ed8f6d62c3424bba
https://halshs.archives-ouvertes.fr/halshs-01012054/file/dr201306.pdf
https://halshs.archives-ouvertes.fr/halshs-01012054/file/dr201306.pdf
Autor:
Kamel Malik Bensafta, Gervasio Semedo
We examine market volatility spillover during calm and crisis periods. First, we define endogenous and exogenous market volatility: endogenous volatility refers to the early part of uncertainty in the market, while, exogenous volatility is not fully
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a80881bf555ff89d175d3946cf0a8905
https://halshs.archives-ouvertes.fr/halshs-01012058
https://halshs.archives-ouvertes.fr/halshs-01012058
Autor:
Kamel Malik Bensafta, Gervasio Semedo
Nous développons dans cet article une modélisation vectorielle autorégressive non linéaire pour l’étude des interdépendances entre les marchés boursiers. Parmi les innovations de ce travail, nous introduisons un bris structurel dans la matri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c394da87d26e3f610b9f9abed9093622
https://doi.org/10.7202/039734ar
https://doi.org/10.7202/039734ar