Youssef El-Khatib
Personal Details
First Name: | Youssef |
Middle Name: | |
Last Name: | El-Khatib |
Suffix: | |
RePEc Short-ID: | pel131 |
[This author has chosen not to make the email address public] | |
http://faculty.uaeu.ac.ae/youssef_elkhatib/ | |
Research output
Jump to: Working papers Articles Software ChaptersWorking papers
- Jean-Christophe Breton & Youssef El-Khatib & Jun Fan & Nicolas Privault, 2021. "A q-binomial extension of the CRR asset pricing model," Papers 2104.10163, arXiv.org, revised Feb 2023.
- Youssef El-Khatib & Stéphane Goutte & Zororo S Makumbe & Josep Vives, 2021.
"Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset,"
Working Papers
halshs-03211698, HAL.
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2022. "Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset," Finance Research Letters, Elsevier, vol. 44(C).
- Abdulnasser Hatemi-J & Mohamed Ali Hajji & Youssef El-Khatib, 2019.
"Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return,"
Papers
1903.01082, arXiv.org.
- Hatemi-J, Abdulnasser & Hajji, Mohamed Ali & El-Khatib, Youssef, 2022. "Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return," Research in International Business and Finance, Elsevier, vol. 59(C).
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2018. "Valuation of Currency Options in Markets with a Crunch," Papers 1801.08346, arXiv.org.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2018.
"The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation,"
Papers
1802.08987, arXiv.org.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2023. "The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 76(1), pages 135-146.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Computation of second order price sensitivities in depressed markets," Papers 1705.02473, arXiv.org, revised Jan 2018.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2013.
"On the pricing and hedging of options for highly volatile periods,"
Papers
1304.4688, arXiv.org.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On the pricing and hedging of options for highly volatile periods," MPRA Paper 45272, University Library of Munich, Germany.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2013. "On option pricing in illiquid markets with jumps," Papers 1304.4690, arXiv.org.
- El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On option pricing in illiquid markets with random jumps," MPRA Paper 45172, University Library of Munich, Germany.
- El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010.
"Stochastic optimal hedge ratio: Theory and evidence,"
MPRA Paper
26153, University Library of Munich, Germany.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2012. "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 699-703, May.
- Youssef El-Khatib, 2006. "A stochastic volatility model with jumps," Papers math/0603527, arXiv.org, revised Oct 2011.
Articles
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2020. "The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 47(7), pages 1579-1589, April.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Option valuation and hedging in markets with a crunch," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(5), pages 801-815, October.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2016. "An extension of the asymmetric causality tests for dealing with deterministic trend components," Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 4033-4041, September.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015. "Portfolio selection: An alternative approach," Economics Letters, Elsevier, vol. 135(C), pages 141-143.
- El-Khatib Youssef, 2014. "A Homotopy Analysis Method for the Option Pricing PDE in Post-Crash Markets," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 45-50, November.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2012.
"Stochastic optimal hedge ratio: theory and evidence,"
Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 699-703, May.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010. "Stochastic optimal hedge ratio: Theory and evidence," MPRA Paper 26153, University Library of Munich, Germany.
- Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
Software components
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums," Statistical Software Components CPP001, Boston College Department of Economics.
Chapters
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2020. "Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades?," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 5, pages 121-131, World Scientific Publishing Co. Pte. Ltd..
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Youssef El-Khatib & Stéphane Goutte & Zororo S Makumbe & Josep Vives, 2021.
"Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset,"
Working Papers
halshs-03211698, HAL.
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2022. "Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset," Finance Research Letters, Elsevier, vol. 44(C).
Cited by:
- Xu, Lei & Ma, Xueke & Qu, Fang & Wang, Li, 2023. "Risk connectedness between crude oil, gold and exchange rates in China: Implications of the COVID-19 pandemic," Resources Policy, Elsevier, vol. 83(C).
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Abdulnasser Hatemi-J & Mohamed Ali Hajji & Youssef El-Khatib, 2019.
"Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return,"
Papers
1903.01082, arXiv.org.
- Hatemi-J, Abdulnasser & Hajji, Mohamed Ali & El-Khatib, Youssef, 2022. "Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return," Research in International Business and Finance, Elsevier, vol. 59(C).
Cited by:
- Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2019.
"The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction,"
Working Papers
201959, University of Pretoria, Department of Economics.
- Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2022. "The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 39(04), pages 1-11, August.
- Hatemi-J, Abdulnasser & Taha, Viyan, 2021. "Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 537-546.
- Zhang, Cheng & Gong, Xiaomin & Zhang, Jingshu & Chen, Zhiwei, 2023. "Dynamic portfolio allocation for financial markets: A perspective of competitive-cum-compensatory strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
- Abdulnasser Hatemi-J & Alan Mustafa, 2023. "A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios," Papers 2305.12826, arXiv.org.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2018.
"The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation,"
Papers
1802.08987, arXiv.org.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2023. "The Dividend Discount Model with Multiple Growth Rates of any Order for Stock Evaluation," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 76(1), pages 135-146.
Cited by:
- Abdulnasser Hatemi-J, 2024. "An Asymmetric Capital Asset Pricing Model," Papers 2404.14137, arXiv.org, revised May 2024.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017.
"Computation of second order price sensitivities in depressed markets,"
Papers
1705.02473, arXiv.org, revised Jan 2018.
Cited by:
- Mukhlis MUKHLIS & Raja MASBAR & Sofyan SYAHNUR & M. Shabri Abd. MAJID, 2020. "Dynamic Causalities Between World Oil Price And Indonesia’S Cocoa Market: Evidence From The 2008 Global Financial Crisis And The 2011 European Debt Crisis," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 217-233, June.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2013.
"On the pricing and hedging of options for highly volatile periods,"
Papers
1304.4688, arXiv.org.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On the pricing and hedging of options for highly volatile periods," MPRA Paper 45272, University Library of Munich, Germany.
Cited by:
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017. "Computation of second order price sensitivities in depressed markets," Papers 1705.02473, arXiv.org, revised Jan 2018.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2013.
"On option pricing in illiquid markets with jumps,"
Papers
1304.4690, arXiv.org.
Cited by:
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013.
"On option pricing in illiquid markets with random jumps,"
MPRA Paper
45172, University Library of Munich, Germany.
Cited by:
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011.
"On the calculation of price sensitivities with jump-diffusion structure,"
MPRA Paper
30596, University Library of Munich, Germany.
Cited by:
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2018. "Valuation of Currency Options in Markets with a Crunch," Papers 1801.08346, arXiv.org.
- Muroi, Yoshifumi & Suda, Shintaro, 2017. "Computation of Greeks in jump-diffusion models using discrete Malliavin calculus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 140(C), pages 69-93.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010.
"Stochastic optimal hedge ratio: Theory and evidence,"
MPRA Paper
26153, University Library of Munich, Germany.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2012. "Stochastic optimal hedge ratio: theory and evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 699-703, May.
Cited by:
- Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
- Abdulnasser Hatemi-J, 2024. "Testing for the Asymmetric Optimal Hedge Ratios: With an Application to Bitcoin," Papers 2407.19932, arXiv.org, revised Aug 2024.
Articles
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2020.
"The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 47(7), pages 1579-1589, April.
Cited by:
- Tarek Tawfik Yousef Alkhateeb & Haider Mahmood, 2020. "The Oil Price and Trade Nexus in the Gulf Co-Operation Council Countries," Resources, MDPI, vol. 9(12), pages 1-19, November.
- Popkova, Elena G. & Bogoviz, Aleksei V. & Lobova, Svetlana V. & DeLo, Piper & Alekseev, Alexander N. & Sergi, Bruno S., 2023. "Environmentally sustainable policies in the petroleum sector through the lens of industry 4.0. Russians Lukoil and Gazprom: The COVID-19 crisis of 2020 vs sanctions crisis of 2022," Resources Policy, Elsevier, vol. 84(C).
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017.
"Option valuation and hedging in markets with a crunch,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(5), pages 801-815, October.
Cited by:
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2016.
"An extension of the asymmetric causality tests for dealing with deterministic trend components,"
Applied Economics, Taylor & Francis Journals, vol. 48(42), pages 4033-4041, September.
Cited by:
- Hatemi-J, Abdulnasser, 2011.
"Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia,"
MPRA Paper
55527, University Library of Munich, Germany.
- Hatemi-J, Abdulnasser, 2020. "Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 389-404.
- Basel Awartani & Aktham Maghyereh & Julie Ayton, 2019.
"Oil Price Changes And Industrial Output In The Mena Region: Nonlinearities And Asymmetries,"
Working Papers
1342, Economic Research Forum, revised 20 Sep 2019.
- Awartani, Basel & Maghyereh, Aktham & Ayton, Julie, 2020. "Oil price changes and industrial output in the MENA region: Nonlinearities and asymmetries," Energy, Elsevier, vol. 196(C).
- İbrahim ÖZMEN, 2022. "New Evidence from Government Debt and Economic Growth in Core and Periphery European Union Countries : Asymmetric Panel Causality," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 167-187, October.
- Kalai Lamia & Kasraoui Naziha, 2019. "Financial Cointegration and the Vector Error Correction Model: The Case of MENA Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 9(1), pages 160-168.
- Abdulnasser Hatemi-J, 2024. "Efficient Asymmetric Causality Tests," Papers 2408.03137, arXiv.org, revised Oct 2024.
- Manuchehr Irandoust, 2020. "The effectiveness of monetary policy and output fluctuations: An asymmetric analysis," Australian Economic Papers, Wiley Blackwell, vol. 59(2), pages 161-181, June.
- Xiaojuan He & Dervis Kirikkaleli & Melike Torun & Zecheng Li, 2021. "Modeling Economic Risk in the QISMUT Countries: Evidence From Nonlinear Cointegration Tests," SAGE Open, , vol. 11(4), pages 21582440211, October.
- Ozcelebi, Oguzhan, 2019. "Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 498-513.
- Osinubi Tolulope T. & Ajayi Adedoyin O. & Osinubi Olufemi B. & Olaniyi Clement O., 2021. "A New Intuition into Tourism-Inclusive Growth Nexus in Turkey and Nigeria (1995 – 2018)," Economics, Sciendo, vol. 9(1), pages 221-241, June.
- Irandoust, Manuchehr, 2019. "On the relation between exchange rates and tourism demand: A nonlinear and asymmetric analysis," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
- Clement Olalekan Olaniyi & Olaolu Richard Olayeni, 2020. "A new perspective into the relationship between CEO pay and firm performance: evidence from Nigeria’s listed firms," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 22(2), pages 250-277, December.
- Hatemi-J, Abdulnasser, 2019. "The Causal Impact of Stock Market Development on Economic Development in the UAE: An Asymmetric Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(2), pages 171-184.
- Adedeji Daniel Gbadebo, 2023. "Dynamic Asymmetric Causality of Bitcoin’s Price-Volume Relation," SAGE Open, , vol. 13(4), pages 21582440231, December.
- Koray Yıldırım & Neşe Algan & Harun Bal, 2024. "Investment Hysteresis: An Empirical Essay Turkish Case," Evaluation Review, , vol. 48(1), pages 143-176, February.
- Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017. "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 49(16), pages 1584-1592, April.
- Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "A MS-Excel Module to Transform an Integrated Variable into Cumulative Partial Sums for Negative and Positive Components with and without Deterministic Trend Parts," MPRA Paper 73813, University Library of Munich, Germany.
- Darshita Fulara Gunwant & Sartaj Rasool Rather & Faisal Nazir Zargar, 2024. "Oil Price Volatility Shocks and the Macroeconomic Indicators: Evidence from Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 138-141, May.
- Hatemi-J, Abdulnasser & Mustafa, Alan, 2016. "Testing for Financial Market Integration of the Chinese Market with the US Market," MPRA Paper 72733, University Library of Munich, Germany.
- Celina Löwen & Bilal Kchouri & Thorsten Lehnert, 2021. "Is this time really different? Flight-to-safety and the COVID-19 crisis," PLOS ONE, Public Library of Science, vol. 16(5), pages 1-17, May.
- Javed Iqbal & Sabahat Aziz & Misbah Nosheen, 2022. "The asymmetric effects of exchange rate volatility on US–Pakistan trade flows: new evidence from nonlinear ARDL approach," Economic Change and Restructuring, Springer, vol. 55(1), pages 225-255, February.
- Abdulnasser Hatemi-J, 2021. "Dynamic Asymmetric Causality Tests with an Application," Papers 2106.07612, arXiv.org, revised Jun 2021.
- Clement Olalekan Olaniyi, 2020. "Application of Bootstrap Simulation and Asymmetric Causal Approach to Fiscal Deficit-Inflation Nexus," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 12(2), pages 123-140, May.
- Hatemi-J, Abdulnasser, 2011.
"Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia,"
MPRA Paper
55527, University Library of Munich, Germany.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015.
"Portfolio selection: An alternative approach,"
Economics Letters, Elsevier, vol. 135(C), pages 141-143.
Cited by:
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2023. "On a regime switching illiquid high volatile prediction model for cryptocurrencies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(2), pages 485-498, July.
- Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2019.
"The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction,"
Working Papers
201959, University of Pretoria, Department of Economics.
- Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2022. "The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 39(04), pages 1-11, August.
- Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Hatemi-J, Abdulnasser & Taha, Viyan, 2021. "Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(4), pages 537-546.
- Abdulnasser Hatemi-J & Mohamed Ali Hajji & Youssef El-Khatib, 2019.
"Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return,"
Papers
1903.01082, arXiv.org.
- Hatemi-J, Abdulnasser & Hajji, Mohamed Ali & El-Khatib, Youssef, 2022. "Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return," Research in International Business and Finance, Elsevier, vol. 59(C).
- Yue Wang & Zhijian Qiu & Xiaomei Qu, 2017. "Optimal portfolio selection with maximal risk adjusted return," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 1035-1040, August.
- Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
- Abdulnasser Hatemi-J & Alan Mustafa, 2023. "A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios," Papers 2305.12826, arXiv.org.
- Abdulnasser Hatemi-J, 2024. "An Asymmetric Capital Asset Pricing Model," Papers 2404.14137, arXiv.org, revised May 2024.
- El-Khatib, Youssef & Hatemi-J, Abdulnasser, 2022.
"On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies,"
MPRA Paper
114556, University Library of Munich, Germany.
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2012.
"Stochastic optimal hedge ratio: theory and evidence,"
Applied Economics Letters, Taylor & Francis Journals, vol. 19(8), pages 699-703, May.
See citations under working paper version above.
- Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2010. "Stochastic optimal hedge ratio: Theory and evidence," MPRA Paper 26153, University Library of Munich, Germany.
- Youssef El-Khatib & Nicolas Privault, 2004.
"Computations of Greeks in a market with jumps via the Malliavin calculus,"
Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
Cited by:
- Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
- Barbara Forster & Eva Luetkebohmert & Josef Teichmann, 2005. "Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance," Papers math/0509016, arXiv.org, revised Oct 2008.
- Reiichiro Kawai, 2012. "Likelihood ratio gradient estimation for Meixner distribution and Lévy processes," Computational Statistics, Springer, vol. 27(4), pages 739-755, December.
- Privault, Nicolas & Wei, Xiao, 2004. "A Malliavin calculus approach to sensitivity analysis in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 679-690, December.
- Anastasis Kratsios, 2019. "Partial Uncertainty and Applications to Risk-Averse Valuation," Papers 1909.13610, arXiv.org, revised Oct 2019.
- Masafumi Hayashi, 2010. "Coefficients of Asymptotic Expansions of SDE with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 373-389, December.
- El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
- Anselm Hudde & Ludger Rüschendorf, 2023. "European and Asian Greeks for Exponential Lévy Processes," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
- Yeliz Yolcu-Okur & Tilman Sayer & Bilgi Yilmaz & B. Alper Inkaya, 2018. "Computation of the Delta of European options under stochastic volatility models," Computational Management Science, Springer, vol. 15(2), pages 213-237, June.
- Bilgi Yilmaz, 2018. "Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus," Papers 1806.06061, arXiv.org.
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Kawai, Reiichiro & Takeuchi, Atsushi, 2010. "Sensitivity analysis for averaged asset price dynamics with gamma processes," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 42-49, January.
- Atsushi Takeuchi, 2010. "Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps," Journal of Theoretical Probability, Springer, vol. 23(2), pages 576-604, June.
- Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
- Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.
Software components
- Youssef El-Khatib & Abdulnasser Hatemi-J, 2017.
"ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums,"
Statistical Software Components
CPP001, Boston College Department of Economics.
Cited by:
- Hatemi-J, Abdulnasser, 2011.
"Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia,"
MPRA Paper
55527, University Library of Munich, Germany.
- Hatemi-J, Abdulnasser, 2020. "Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 389-404.
- Abdulnasser Hatemi-J, 2021. "Dynamic Asymmetric Causality Tests with an Application," Papers 2106.07612, arXiv.org, revised Jun 2021.
- Hatemi-J, Abdulnasser, 2011.
"Asymmetric Panel Causality Tests with an Application to the Impact of Fiscal Policy on Economic Performance in Scandinavia,"
MPRA Paper
55527, University Library of Munich, Germany.
Chapters
- Abdulnasser Hatemi-J & Youssef El-Khatib, 2020.
"Has the Causal Nexus of Oil Prices and Consumer Prices Been Asymmetric in the US during the Last Fifteen Decades?,"
World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 5, pages 121-131,
World Scientific Publishing Co. Pte. Ltd..
Cited by:
- Clement Olalekan Olaniyi & James Temitope Dada & Nicholas Mbaya Odhiambo & Xuan Vinh Vo, 2023. "Modelling asymmetric structure in the finance-poverty nexus: empirical insights from an emerging market economy," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 453-487, February.
- Khanday, Ishfaq Nazir & Tarique, Md., 2023. "Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (5) 2010-11-06 2013-03-23 2013-04-20 2017-05-21 2019-03-11. Author is listed
- NEP-CWA: Central and Western Asia (1) 2021-05-10
- NEP-SEA: South East Asia (1) 2021-05-10
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