Fathi Abid

University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

Professor

Road of Airport, Km 4

Sfax, sfax 3018

Tunisia

SCHOLARLY PAPERS

28

DOWNLOADS

5,649

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (28)

1.

Financial Distress Prediction Using Neural Networks

Proceedings of the MS’ 2000 International Conference on Modeling and Simulation, Spain, pp. 399-406, 2000
Number of pages: 9 Posted: 17 May 2003 Last Revised: 24 Apr 2011
Fathi Abid and Anis Zouari
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Institute of the High Business Studies of Sfax (IHEC)
Downloads 1,688 (9,601)
Citation 2

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financial distress, neural network, risk management

2.

Estimating Term Structure of Interest Rates: Neural Network vs One Factor Parametric Models

U of Sfax, Business and Economics Working Paper
Number of pages: 13 Posted: 12 Jun 2002
Fathi Abid and Mona Ben Salah
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Faculty of Economics and Management (FSEGS)
Downloads 843 (27,677)

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Neural Network, Interest Rate Term Structure, Parametric models, GMM

3.

The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches

Number of pages: 29 Posted: 08 Feb 2010 Last Revised: 15 Feb 2010
Fathi Abid, Mourad Mroua and Wing-Keung Wong
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory, University of Sfax and Asia University, Department of Finance
Downloads 573 (46,651)
Citation 8

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Writing covered call option, Buying protective put option, portfolios management, mean-variance approach, nonparametric stochastic dominance test

4.

The Impact of Stock Returns Volatility on Credit Default Swap Rates: A Copula Study

International Journal of Theoretical and Applied Finance, Vol. 8, No. 8, pp. 1135-1155, 2005
Number of pages: 23 Posted: 21 May 2005 Last Revised: 05 Aug 2008
Fathi Abid and Nader Naifar
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax, Tunisia
Downloads 442 (64,584)

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Copulas functions, credit default swap, volatility, bivariate distribution, Non-parametric estimation, Semi-parametric estimation

5.

Does International Diversification Substitute Home Bias : An Application of a Non Parametric Stochastic Dominance Approach

Number of pages: 32 Posted: 23 Apr 2007 Last Revised: 23 Feb 2010
Fathi Abid, Mourad Mroua and Wing-Keung Wong
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory, University of Sfax and Asia University, Department of Finance
Downloads 280 (108,626)

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Home bias, International diversification, Non-parametric stochastic dominance approach, Monte Carlo and Bootstrap p-values.stochastic dominance approach, Monte Carlo and Bootstrap p-values

6.

A Combined Analytic Hierarchy Process and Goal Programming Approach to International Portfolio Selection in the Presence of Investment Barriers

Number of pages: 20 Posted: 12 Apr 2011 Last Revised: 28 Nov 2011
Slah Bahloul and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 270 (112,899)

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7.

Modeling Copper Prices

Number of pages: 14 Posted: 11 May 2011 Last Revised: 18 Jun 2011
Souha Boutouria and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 235 (130,193)

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Copper, Stochastic process, Monte Carlo Simulation

8.

A Methodology to Estimate the Interest Rates Yield Curve in Illiquid Market: The Tunisian Case

Number of pages: 18 Posted: 15 May 2013 Last Revised: 24 May 2013
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 208 (146,389)

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Illiquid Market, Yield Curve of Interest Rates, Cubic Spline, Vasicek (1977) model, CIR (1985) model, OLS, MLE

9.

Regime Switching, Asymmetric Correlation and International Portfolio Choices

Number of pages: 20 Posted: 10 Mar 2010
Fathi Abid and Slah Bahloul
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration
Downloads 202 (150,470)
Citation 1

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Markov regime switching, asymmetric correlation, portfolio optimization, international portfolio choices

10.

Hedging Effectiveness of Constant and Time Varying Hedge Ratio of the Copper in the London Metal Exchange

Number of pages: 16 Posted: 20 May 2011
Souha Boutouria and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 157 (188,283)

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Futures, hedging, constnat hedge ratio, time varying hedge ratio

11.

A Multi-Objective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 19 Posted: 13 Mar 2014
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 147 (198,842)

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ALM, Goal Programming, Optimization, Commercial Bank

12.

Does International Diversification Substitute for Home Bias?

Number of pages: 30 Posted: 11 Oct 2010 Last Revised: 22 Nov 2010
Wing-Keung Wong, Fathi Abid and Mourad Mroua
Asia University, Department of Finance, University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax
Downloads 138 (209,295)

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Home Bias, International Diversification, Mean-Variance Portfolio Optimization, Stochastic Dominance, Monte Carlo and Bootstrap P-Values

13.

Portfolios Resampling and International Diversification: A Non-Parametric Stochastic Dominance Approach

Number of pages: 35 Posted: 02 May 2011
Mourad Mroua, Fathi Abid and Wing-Keung Wong
University of Sfax, University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and Asia University, Department of Finance
Downloads 129 (220,830)

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Optimal portfolios choices, Estimation Errors, Portfolio Resampling, Non parametric stochastic dominance approach, Monte Carlo and bootstrap p-values simulations

14.

Sequential Investment and Delay: An Agribusiness Firm Case Study

Number of pages: 35 Posted: 29 Apr 2011
University of Sfax - Faculty of Business and Economics, affiliation not provided to SSRN and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 76 (314,766)

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Oleic industry, olive pomace oil, growth option, time-to-build

15.

Prévision de la détresse financière par les algorithmes génétiques et les réseaux de neurones (Prediction of Financial Distress Using the Genetic Algorithms and Neural Networks)

Paper presented in 20th International Conference of the French Finance Association (AFFI) 2003
Number of pages: 12 Posted: 02 Jan 2014
Fathi Abid and Anis Zouari
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Institute of the High Business Studies of Sfax (IHEC)
Downloads 68 (334,802)

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Neural Networks, Genetic Algorithm, Financial Distress, Prediction.

16.

Selected MENA Countries' Attractiveness to G7 Investors

Economic Modelling, Vol. 28, No. 5, 2011, ERF working paper series, 531
Number of pages: 27 Posted: 26 Apr 2014 Last Revised: 28 Apr 2014
Fathi Abid and Slah Bahloul
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration
Downloads 67 (337,422)

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Foreign portfolio investment, Attractiveness, Middle East and North Africa, G7 investors, Gravity model, Analytic hierarchy process, Goal programming

17.

An Empirical Comparison of the Short Term Interest Rate Models

Number of pages: 11 Posted: 25 Feb 2014
Mona Ben Salah and Fathi Abid
University of Sfax - Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 40 (424,848)

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short term interest rate, diffusion process, GMM, Monte Carlo simulation

18.

Contingent Capital Pricing Model and Default Probability in the Banking Industry

Number of pages: 17 Posted: 13 Nov 2018 Last Revised: 10 Dec 2018
Fathi Abid, Ons Triki and Asma Khadimallah
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory, University of Sfax - Faculty of Economic and Management Sciences - Laboratory of Probability and Statistics and University of Sfax - Faculty of Economic and Management Sciences - Laboratory of Probablility and Statistics
Downloads 31 (463,107)

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Contingent capital, Capital structure, Default probability, Real option, Risk incentive

19.

A Case Study on Pomace Olive Oil Investment-Option Valuation, Optimal Leverage and Expected Agency Costs

Number of pages: 18 Posted: 17 Sep 2010 Last Revised: 29 Apr 2011
Besbes Hachicha Sameh and Fathi Abid
University of Sfax - Faculty of Business and Economics and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 31 (463,107)

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Extracting and refining pomace oil, investment option, optimal leverage, agency costs of overinvestment

20.

Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns

ERF Working Paper No. 683
Number of pages: 19 Posted: 29 Apr 2014
Slah Bahloul and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory
Downloads 24 (499,477)

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time varying volatility, MENA countries’ stock market, three-state Markov regime switching model, Granger causality test

21.

Time-Frequency Wavelet Analysis of Stock Market Co-Movement between and within Geographic Trading Blocs

Posted: 31 Aug 2017
Bilel Kaffel and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

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international stock market linkage, wavelet coherence, wavelet correlation, wavelet cross-correlation, wavelet multiple cross-correlation

22.

Time-Frequency Analysis of the Interrelationship between the Global Macro Assets and Fear Indexes Using Wavelet-Based Tools

Posted: 14 Sep 2016
Fathi Abid and Bilel Kaffel
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration

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global macro markets, fear indexes, financial crisis, wavelet coherence, wavelet multiple correlation and cross correlation

23.

The Extent of Virgin Olive-Oil Prices' Distribution Revealing the Behavior of Market Speculators

Posted: 08 Sep 2016
Fathi Abid and Bilel Kaffel
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration

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Olive Oil Price, Time Series Analysis, Wavelet Transform, Artificial Neural Network

24.

Stochastic Dominance Based Performance Ranking and Shock Transmission between MENA Countries’ GDP Growth and Stock Market Return

Posted: 19 Nov 2015 Last Revised: 12 Aug 2016
Fathi Abid, Slah Bahloul and Mourad Mroua
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory, University of Sfax - Higher Institute of Business Administration and University of Sfax

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GDP growth, stock market return, stochastic dominance, VAR model, shock, generalized impulse response

25.

A Multiobjective Model for Bank Asset Liability Management: The Case of a Tunisian Bank

The IUP Journal of Financial Risk Management, Vol. X, No. 4, December 2013, pp. 35-56
Posted: 04 Aug 2014
Fatma Chakroun and Fathi Abid
University of Sfax-Faculty of Economics and Management (FSEGS) and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

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26.

Pricing and Hedging Copper Futures on the London Metal Exchange

The IUP Journal of Applied Finance, Vol. 18, No. 1, January 2012, pp. 68-98
Posted: 13 Sep 2012
Souha Boutouria and Fathi Abid
University of Sfax - Higher Institute of Business Administration and University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory

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27.

International Portfolio Choices with Investment Barriers: A Multifactor Approach

Posted: 03 Apr 2010
Fathi Abid and Slah Bahloul
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Higher Institute of Business Administration

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International Portfolio Choice, Barriers to International Investment, Home Bias, Analytic Hierarchy Process, Weighted Goal Programming

28.

The Determinants of Credit Default Swap Rates: An Explanatory Study

International Journal of Theoretical and Applied Finance, Vol. 9, No. 1, 2006
Posted: 21 May 2005 Last Revised: 18 Jul 2008
Fathi Abid and Nader Naifar
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax, Tunisia

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credit derivatives, credit risk, rating, market variables

Other Papers (1)

Total Downloads: 0
1.

Predicting Corporate Financial Distress: A Neural Networks Approach

Finance India, Vol. 16, No. 2, pp. 601-612, June 2002
Posted: 13 Nov 2008 Last Revised: 01 Jan 2014
Fathi Abid and Anis Zouari
University of Sfax, Faculty of Economic and Management Sciences, Probability & Statistics Laboratory and University of Sfax - Institute of the High Business Studies of Sfax (IHEC)

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financial distress, neural networks, financial ratios