Lotfi BelKacem

University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)

Sousse

Tunisia

SCHOLARLY PAPERS

6

DOWNLOADS

167

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125, 2014
Number of pages: 17 Posted: 12 Dec 2014
Imed Gammoudi, Lotfi BelKacem and Mohamed El Ghourabi
University of Sousse, University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University of Tunis, Larodec
Downloads 36 (467,565)

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

2.

Do Precious Metals Act As Hedges and Safe Heavens against G-7 Stock Markets?: A Vine Copula Approach

Number of pages: 29 Posted: 20 Dec 2017 Last Revised: 28 Nov 2018
University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ), University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University Claude Bernard Lyon 1
Downloads 70 (341,553)

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Precious Metals, G-7 Stock Markets, Vine Copulas, Hedge, Safe Haven, Diversification

3.

Systemic Risk Contribution in Islamic Equity Markets: CoVaR Based Model

Number of pages: 14 Posted: 24 Jan 2018
Sana Braiek, Rihab Bedoui and Lotfi BelKacem
University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ), University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)
Downloads 39 (444,447)

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Quantile Regression, CoVaR, ∆CoVaR, Islamic Equity Markets

4.

How Long Memory Affects True Dependence Structure? Evidence From the Dow Jones Islamic Sub-indexes

Number of pages: 20 Posted: 19 Jan 2018
Sana Braiek, Rihab Bedoui and Lotfi BelKacem
University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ), University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)
Downloads 21 (535,139)

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R-vine Copula, Dow Jones Islamic Sector Indexes, Long Memory, Dependence Structure

5.

Modeling Catastrophic Operational Risk Using a Compound Neyman–Scott Clustering Model

Journal of Operational Risk, Forthcoming
Number of pages: 25 Posted: 26 Feb 2018
Zied Gara and Lotfi BelKacem
University of Sousse - MaPReCoB Research Unit and University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ)
Downloads 1 (674,756)
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loss distribution approach (LDA), human-made catastrophes, natural catastrophes, Neyman–Scott process, operational risk, temporal clustering

6.

Chaotic Behavior in Financial Market Volatility

Journal of Risk, Forthcoming
Number of pages: 27 Posted: 31 Jul 2018
Independent, LaREMFiQ - IHEC, University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and Independent
Downloads 0 (691,842)
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chaos, Lyapunov exponent, market risk, neural network, nonlinear dynamics