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2 results for Ahmed GHORBEL.

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Dependence between Non-Energy Commodity Sectors Using Time-Varying Extreme Value Copula Methods
by Zayneb Attaf, Ahmed Ghorbel and Younes Boujelbène
International Journal of Econometrics and Financial Management. 2015, 3(2), 64-75. DOI: 10.12691/ijefm-3-2-3
Pub. Date: January 28, 2015Views: 31177Downloads: 28754
non-energy commodity dependence structure copula diversification time-varying correlations
Abstract Full Text PDF (321 KB) Full Text HTML Full Text ePUB (653 KB)
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Risk Measurement in Commodities Markets Using Conditional Extreme Value Theory
by Ahmed GHORBEL and Sameh SOUILMI
International Journal of Econometrics and Financial Management. 2014, 2(5), 188-205. DOI: 10.12691/ijefm-2-5-4
Pub. Date: September 30, 2014Views: 46124Downloads: 41259
risk measurement oil natural gas and phosphate markets filtered data conditional EVT value-at-risk expected shortfull
Abstract Full Text PDF (507 KB) Full Text HTML Full Text ePUB (714 KB)
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