Omar Rachedi

Universidad Carlos III de Madrid

CL. de Madrid 126

Madrid, Madrid 28903

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

145

CITATIONS

0

Scholarly Papers (3)

1.

Testing for Spurious Long Memory: A Monte Carlo Comparison with an Application to Credit Default Swaps

Number of pages: 36 Posted: 17 Mar 2010
Arturo Leccadito, Omar Rachedi and Giovanni Urga
Università degli Studi della Calabria, Universidad Carlos III de Madrid and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 94 (272,471)

Abstract:

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Fractional integration, Structural Break, Regime Switching

2.

Time Varying Volatility and the Origins of Financial Crises

Number of pages: 62 Posted: 08 Oct 2014
Omar Rachedi
Universidad Carlos III de Madrid
Downloads 51 (379,953)

Abstract:

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Collateral Liquidity, Housing Market, Non-Linear Dynamics, Occasionally Binding Borrowing Constraint, Search Frictions

3.

Multivariate Models for Operational Risk: A Copula Approach using Extreme Value Theory and Poisson Shock Models

OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION, Wiley, pp. 197-218, March 2009
Posted: 03 Dec 2008 Last Revised: 23 Dec 2011
Omar Rachedi and Dean Fantazzini
Universidad Carlos III de Madrid and Moscow School of Economics, Moscow State University

Abstract:

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Copula, Extreme Value Theory, Losses Frequency , Losses Severity, Operational Risk, Shock model, VaR