Hachmi Ben Ameur
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Parcours et expériences
Depuis Juillet 2018
Directeur de la recherche INSEEC School of Business and Economics
Depuis Octobre 2012
Enseignant Chercheur au Groupe INSEEC U.
Publications
Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
Volatility transmission to the fine wine market
Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?
Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
Measurement Errors in Stock Markets
Modeling International Stock Price Comovements with High-frequency Data
Risk Management of Time Varying Floors for Dynamic Portfolio Insurance
Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis
Optimal Employee Ownership Contracts under Ambiguity Aversion
Does the equity premium puzzle persist during financial crisis? The case of the french equity market
On Oil-US Exchange Rate Volatility Relationships: an Intraday Analysis
Financial Market Contagion on the Fine Wines: the Evidence of ADCC GARCH Model
Assessing for Time-Variation in Oil Risk Premia: an ADCC-GARCH-CAPM Investigation
Autres publications
New Outlook for Oil Market in the New Post-Coronavirus World
Does the Real Business Cycle Help Guessing the Financial Cycle: A US Data Analysis?
GARCH Models with CPPI Application
Ses engagements
Thèmes de Recherche
Marché financiers,
Gestion de portefeuille , produits structurés , assurance de portefeuille
Gestion des risques
Finance comportementale
Économétrie financière.
Organisation de conférences:
International Symposium in Computational Economics and Finance in Paris, April 12-14 2018·
International Symposium in Computational Economics and Finance in Paris, April 14-16 2016·
International Symposium in Computational Economics and Finance in Paris, April 10-12 2014·
International Symposium in Computational Economics and Finance in Tunis , March 15-17, 2012
Participation à des conférences:
Global Finance Conference, 2017 (New York), « Cojumps between oil and currency markets : measurement, causes and predictive power », 4-6 may 2017.
European conference on operational research, 2016 (Poznan) «On the Stochastic Dominance of Portfolio Insurance Strategies: CPPI with conditional multiples versus OBPI», 3-6 july 2016.
European conference on operational research, 2015, (Glasgow) «CPPI Method with Conditional Floor. The Discrete Time Case.», 12-15 july 2015.
AFFI 2014, Congrès international de l’AFFI (Aix En Provence), « Time-Varying Risk Premiums in the Framework of Wine Investment». May 20 – 21, 2014;
AFFI 2013, Congrès international de l’AFFI (Lyon), « Portfolio insurance: Gap risk under conditional multiples». May 29 – 31, 2013.
Rapporteur auprès de revues internationales
Quantitative Finance
Bulletin of Economic Research
International Conference of Finance
Annals of Operations Research
Economic Modelling
Association
Membre de l’Association Française de Finance Depuis 2007