Publications

Default publication image

The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility

Khaled GUESMI, S. ALI RAZA, R. BENKRAIEM, K. A. KHAN

This research represents the first empirical evidence highlighting the significant role of climate policy uncertainty in predicting the green, clean, and sustainable financial markets volatility.

Default publication image

Uncertainty, stocks and commodity prices during the Ukraine-Russia war

Whelsy BOUNGOU, Alhonita Yatié

This article mainly investigates whether the war in Ukraine-Russia induces uncertainties and how this affects the returns of world stock market indices and commodity prices.

Default publication image

Climate uncertainty effects on bitcoin ecological footprint through cryptocurrency environmental attention

Khaled GUESMI, Wissal Zribi, Talel Boufateh

In this study, we investigate the dynamic relationship between physical climate risks and Bitcoin's energy consumption and carbon footprint, focusing on cryptocurrency environmental performance.

Default publication image

Cyber-attacks and banking intermediation

Using data from 2144 U.S. banks over the period from 2011 to 2019, this article aims to analyze banks' responses to cyber-attacks. Our results highlight that cyber-attacks affect banking intermediation through a reduction in deposit collection, and credit supply.

Default publication image

La Bête du Gévaudan : un mystère français éclairé par les statistiques

Entre 1764 et 1767, le Gévaudan focalise l'attention du Royaume de France. Pendant trois ans, une bête sévit dans cette région reculée, laissant derrière elle de nombreuses victimes.

Default publication image

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.

Default publication image

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

Default publication image

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

Daniel MAAR, H. KEFI, M. A. ORHAN

Pages