Publications

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Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets

Khaled GUESMI, Stephane GOUTTE, Ahmed AYADI, Marjène GANA

The objective of this study is to create optimal two-asset portfolios consisting of stocks from Western Europe, the United States, and the BRICS (Brazil, China, India, Russia, and South Africa), as well as sixteen commodity types during the BREXIT period.

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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model

Khaled GUESMI, Rihab Bedoui, Ramzi BENKRAIEM, Islem KEDIDI

This study investigates the potential benefits of using the Conditional Value at Risk (CVaR) portfolio optimization
approach with a GARCH model, Extreme Value Theory (EVT), and Vine Copula to obtain the optimal allocation

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Should brands foster their Instagram account followers’ fear of missing out by posting ephemeral content?

Daniel MAAR, H. KEFI, M. A. ORHAN
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Subsample analysis of stock market – cryptocurrency returns tail dependence: A copula approach for the tails

Nabila BOUKEF JLASSI, Ahmed JERIBI, Amine LAHIANI, Salma MEFTEH-WALI

This paper describes the extremal and tail dependence between G7 stock market returns (USA, Canada, UK, Japan, Germany, France, Italy) and cryptocurrency returns (Bitcoin, Ethereum, Dash, Monero, Ripple) on the basis of the bivariate extremal dependence model (Padoan and Stupfler, 2022) and the b

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Télétravail à domicile : comment immuniser les salariés face à la cyber épidémie?

Nicolas DUFOUR, Caroline DIARD

With the generalized containment set up to face the covid-19 epidemic, within the framework
of continuity plans, companies have been forced to organize telework at home without any
particular anticipation. The perpetuation of telework introduces into organizations risks

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Trust and corporate social responsibility: International evidence

Hatem RJIBA, Imed Chkir, Fatma Mrad, Afef Khalil
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Une analyse des comportements de recommandation de produits à partir des avis postés sur Amazon

Nessrine OMRANI, Tasnime OMRANI, Alain RALLET

Amazon’s implementation of a rating system for goods is one of the major innovations of the e-commerce industry. This has led to new literature on the reasons behind consumers making use of the system, investigated using declarative surveys.

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Unveiling micro-foundations of digital transformation: Cognitive models, routines, and organizational structures in agri-food SMEs

Francesco APPIO, Maria Carmela Annosi, Francesca Capo, Ivan Bedetti
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Volatility contagion and connectedness between WTI and commodity markets

This article analyzes the contagion risk between WTI crude oil prices and several major commodities markets. We study the dynamics of commodity connectedness, and we measure volatility contagion under various market conditions and commodity price cycles between 1982 and 2020.

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