البحوث المنشورة

BenSaïda, A.; Hernandez, J.A.; Litimi, H.; Yoon, S.M. (2022). “The influence of oil, gold, and stock market index on US equity sectors". Applied Economics, vo. 54(6), pp. 719 – 732. Taylor & Francis. ISI Impact Factor = 1.835 [CNRS 2/ ABS 2/ Scopus Q2].

DOI: 10.1080/00036846.2021.1969001   -  2022

BenSaïda, A.; Chemkha, R.; Ghorbel, A.; Tayachi, T. (2021). “Hedge and safe haven properties during COVID-19 pandemic: Evidence from Bitcoin and gold". The Quarterly Review of Economics and Finance, vol. 82, pp. 71 – 85. Elsevier. ISI Impact Factor = 2.619 [CNRS 3/ ABS 2/ Scopus Q2].

DOI: 10.1016/j.qref.2021.07.006   -  2021

BenSaïda, A. (2021). “The good and bad volatility: A new class of asymmetric heteroskedastic models". Oxford Bulletin of Economics and Statistics, vol. 83(2), pp. 540 – 570. Wiley. ISI Impact factor = 1.791 [CNRS 2/ ABS 3/ Scopus Q1].

DOI: 10.1111/obes.12398  -  2021

BenSaïda, A.; Chemkha, R.; Ghorbel, A. (2021). “Connectedness between cryptocurrencies and foreign exchange markets: Implication for risk management". Journal of Multinational Financial Management, vol. 59, pp. 100666. Elsevier. ISI Impact Factor = 3.945 [CNRS 4/ ABS 2/ Scopus Q1].

DOI: 10.1016/j.mulfin.2020.100666   -  2021

BenSaïda, A.; Litimi, H. (2021). “Financial contagion across G10 stock markets: A study during major crises". International Journal of Finance and Economics, vol. 26(3), pp. 4798 – 4821. Wiley. ISI Impact factor = 3.070 [CNRS 3/ABS 3/ Scopus Q2].

DOI: 10.1002/ijfe.2041 - 2021

BenSaïda, A. (2019). “Good and bad volatility spillovers: An asymmetric connectedness". Journal of Financial Markets, vol. 43, pp. 78 – 95. Elsevier. ISI Impact factor = 2.516 [CNRS 2/ ABS 3/ Scopus Q1].

DOI: 10.1016/j.finmar.2018.12.005  - 2019

BenSaïda, A.; BenMim, I. (2019). “Financial contagion across major stock markets: A study during crisis episodes". The North American Journal of Economics and Finance, vol. 48, pp. 187 – 201. Elsevier. ISI Impact factor = 2.772 [ABS 2/ Scopus Q2].

DOI: 10.1016/j.najef.2019.02.005  - 2019

BenSaïda, A.; Litimi, H.; Belkacem, L.; Abdallah, O. (2019). “Chaotic behavior in financial market volatility". Journal of Risk, vol. 21(3), pp. 27 – 53. Risk.Net. ISI Impact factor = 0.760 [ABS 2/ Scopus Q2].

DOI: 10.21314/JOR.2018.400   -  2019

BenSaïda, A.; Litimi, H.; Abdallah, O. (2018). “Volatility spillover shifts in global markets". Economic Modelling, vol. 73, pp. 343 – 353. Elsevier. ISI Impact factor = 3.127 [CNRS 2/ ABS 2/ Scopus Q1].

DOI: 10.1016/j.econmod.2018.04.011   -  2018

BenSaïda, A.; Boubaker, S.; Nguyen, D. (2018). “The shifting dependence dynamics between the G7 stock markets". Quantitative Finance, vol. 18(5), pp. 801 – 812. Taylor & Francis. ISI Impact factor = 2.222 [CNRS 3/ ABS 3/ Scopus Q1].

DOI: 10.1080/14697688.2017.1419628   -  2018

BenSaïda, A.; Boubaker, S.; Nguyen, D.; Slim, S. (2018). “Value-at-Risk under market shifts through highly flexible models". Journal of Forecasting, vol. (37)8, pp. 790 – 804. Wiley. ISI Impact factor = 2.306 [CNRS 3/ ABS 2/ Scopus Q2].

DOI: 10.1002/for.2503 - 2018

BenSaïda, A. (2018). “The contagion effect in European sovereign debt markets: A regime-switching vine copula approach". International Review of Financial Analysis, vol. 58, pp. 153 – 165. Elsevier. ISI Impact factor = 5.373 [CNRS 3/ ABS 3/ Scopus Q1].

DOI: 10.1016/j.irfa.2017.09.013 -  2018

BenSaïda, A. (2017). “Herding effect on idiosyncratic volatility in U.S. industries". Finance Research Letters, vol. 23, pp. 121 – 132. Elsevier. ISI Impact factor = 5.596 [CNRS 3/ ABS 2/ Scopus Q1].

DOI: 10.1016/j.frl.2017.03.001 -  2017

BenSaïda, A.; Slim, S.; Koubaa, Y. (2017). “Value-at-Risk under Lévy GARCH models: Evidence from global stock markets". Journal of International Financial Markets, Institutions and Money, vol. 46, pp. 30 – 53. Elsevier. ISI Impact factor = 4.211 [CNRS 3/ ABS 3/ Scopus Q1].

DOI: 10.1016/j.intfin.2016.08.008  -  2017

BenSaïda, A.; Litimi, H.; Bouraoui, O. (2016). “Herding and excessive risk in the American stock markets: A sectoral analysis". Research in International Business and Finance, vol. 38, pp. 6 – 21. Elsevier. ISI Impact factor = 4.091 [CNRS  4/ ABS 2/ Scopus Q1].

DOI: 10.1016/j.ribaf.2016.03.008   - 2016

BenSaïda, A.; Slim, S. (2016). “Highly flexible distributions to fit multiple frequency financial returns". Physica A: Statistical Mechanics and its Applications, vol. 442, pp. 203 – 213. Elsevier. ISI Impact factor = 3.263 [ABS 2/ Scopus Q1].

DOI: 10.1016/j.physa.2015.09.021 -  2016

BenSaïda, A. (2015). “A practical test for noisy chaotic dynamics". SoftwareX, vol. 3-4, pp. 1 – 5. Elsevier. ISI Impact factor = 1.959 [Scopus Q1].

DOI: 10.1016/j.softx.2015.08.002  -  2015

BenSaïda, A. (2015). “The frequency of regime switching in financial market volatility". Journal of Empirical Finance, vol. 32, pp. 63 – 79. Elsevier. ISI Impact factor = 2.779 [FNEGE 2/ CNRS 3/ ABS 3/ Scopus Q1].

DOI: 10.1016/j.jempfin.2015.03.005  -  2015

BenSaïda, A.; Jlassi, M.; Litimi, H. (2015). “Volume-herding interaction in the American stock market". American Journal of Finance and Accounting, vol. 4(1), pp. 50 – 69. [ABDC = C].

DOI: 10.1504/AJFA.2015.067837   -  2015

BenSaïda, A.; Litimi, H. (2014). “Switching regime in investors' risk perception". Journal of Finance and Accounting, vol. 2(3), pp. 48 – 52.

DOI: 10.11648/j.jfa.20140203.13 -   2014

BenSaïda, A. (2014). “Noisy chaos in intraday financial data: Evidence from the American index". Applied Mathematics and Computation, vol. 226, pp. 258 – 265. Elsevier. ISI Impact factor = 4.091 [Scopus Q1].

DOI: 10.1016/j.amc.2013.10.064     -   2014

BenSaïda, A.; Jlassi, M. (2014). “Herding behavior and trading volume: Evidence from the American indexes".

International Review of Management and Business Research, vol. 3(2), pp. 705 – 722.

Available online at: https://www.irmbrjournal.com/paper_details.php?id=258    -  2014

BenSaïda, A.; Litimi, H. (2013). “High level chaos in the exchange and index markets". Chaos, Solitons & Fractals, vol. 54, pp. 90 – 95. Elsevier. ISI Impact factor = 5.944 [Scopus Q1].

DOI: 10.1016/j.chaos.2013.06.004    -   2013

BenSaïda, A. (2012). “Are financial markets stochastic: a test for noisy chaos".

American International Journal of Contemporary Research, vol. 2(8), pp. 57 – 68.

Available online at: http://www.aijcrnet.com/journal/index/273   -   2012

BenSaïda, A. (2012). “Skewness and market investors risk preferences".

International Journal of Business and Behavioral Sciences, vol. 2(7), pp. 39 – 45.     -   2012

BenSaïda, A. (2012). “Improving the forecasting power of volatility models".

International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pp. 51 – 64.     -     2012

BenSaïda, A. (2007). “Refining the distribution of GARCH models: application to stock index returns". SSRN Electronic Journal.

DOI: 10.2139/ssrn.980042    - 2007

BenSaïda, A. (2007). “Using the Lyapunov exponent as a practical test for noisy chaos". SSRN Electronic Journal.

DOI: 10.2139/ssrn.970074