Hachmi Ben Ameur
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
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The influence of economic policy uncertainty and business cycles on fine wine prices
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Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
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Volatility transmission to the fine wine market
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Intraday hedging and the safe haven role of Bitcoin
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The Brexit impact on European market co-movements
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Measuring extreme risk dependence between the oil and gas markets
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Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market
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Measuring the global economic impact of the coronavirus outbreak: Evidence from the main cluster countries
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Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
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Optimal Portfolio Positioning on Multiple Assets Under Ambiguity
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Measurement Errors in Stock Markets
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Modeling International Stock Price Comovements with High-frequency Data
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Risk Management of Time Varying Floors for Dynamic Portfolio Insurance
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Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis
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Optimal Employee Ownership Contracts under Ambiguity Aversion
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Does the equity premium puzzle persist during financial crisis? The case of the french equity market
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On Oil-US Exchange Rate Volatility Relationships: an Intraday Analysis
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Financial Market Contagion on the Fine Wines: the Evidence of ADCC GARCH Model
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Assessing for Time-Variation in Oil Risk Premia: an ADCC-GARCH-CAPM Investigation
Autres publications
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New Outlook for Oil Market in the New Post-Coronavirus World
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Does the Real Business Cycle Help Guessing the Financial Cycle: A US Data Analysis?
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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