Bilel Sanhaji
Personal Details
First Name: | Bilel |
Middle Name: | |
Last Name: | Sanhaji |
Suffix: | |
RePEc Short-ID: | psa1453 |
[This author has chosen not to make the email address public] | |
https://www.sanhaji.net | |
Terminal Degree: | 2014 Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM); École d'Économie d'Aix-Marseille; Aix-Marseille Université (from RePEc Genealogy) |
Affiliation
Laboratoire d'Économie Dionysien (LED)
Université Paris-Saint-Denis (Paris VIII)
Saint-Denis, Francehttps://sites.google.com/site/up8led/
RePEc:edi:ledp8fr (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Post-Print
hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
- Julien Chevallier & Bilel Sanhaji, 2023.
"Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices,"
Post-Print
halshs-04344131, HAL.
- Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
- Julien Chevallier & Stéphane Goutte & David Guerreiro & Sophie Saglio & Bilel Sanhaji, 2021.
"Routledge Advances in Applied Financial Econometrics,"
Post-Print
halshs-04250213, HAL.
- Julien Chevallier & Stéphane Goutte & David Guerreiro & Sophie Saglio & Bilel Sanhaji, 2021. "Routledge Advances in Applied Financial Econometrics," Post-Print halshs-04250218, HAL.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "Financial Mathematics, Volatility and Covariance Modelling," Post-Print halshs-02183052, HAL.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- Bilel Sanhaji, 2017.
"Testing for nonlinearity in conditional covariances,"
Post-Print
hal-02879361, HAL.
- Sanhaji Bilel, 2017. "Testing for Nonlinearity in Conditional Covariances," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
- Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
- Anne Peguin-Feissolle & Bilel Sanhaji, 2016.
"Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models,"
Post-Print
hal-04218472, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
- Jian Hua & Bilel Sanhaji, 2015.
"Volatility spillovers across daytime and overnight information between China and world equity markets,"
Post-Print
hal-04218479, HAL.
- Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5407-5431, October.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
AMSE Working Papers
1516, Aix-Marseille School of Economics, France.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
repec:hal:journl:hal-01457382 is not listed on IDEAS
repec:hal:journl:hal-01448238 is not listed on IDEAS
Articles
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Econometrics, MDPI, vol. 11(3), pages 1-36, August.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
- Julien Chevallier & Bilel Sanhaji, 2023.
"Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices,"
Stats, MDPI, vol. 6(4), pages 1-32, December.
- Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.
- Sanhaji Bilel, 2017.
"Testing for Nonlinearity in Conditional Covariances,"
Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
- Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
- Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016.
"Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
- Anne Peguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print hal-04218472, HAL.
- Jian Hua & Bilel Sanhaji, 2015.
"Volatility spillovers across daytime and overnight information between China and world equity markets,"
Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5407-5431, October.
- Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Post-Print hal-04218479, HAL.
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
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Post-Print
hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
Cited by:
- Julien Chevallier & Bilel Sanhaji, 2023.
"Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices,"
Post-Print
halshs-04344131, HAL.
- Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019.
"Financial Mathematics, Volatility and Covariance Modelling,"
Post-Print
halshs-02183052, HAL.
Cited by:
- Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
- Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, vol. 7(4), pages 1-21, November.
- Amendola, A. & Candila, V. & Cipollini, F. & Gallo, G.M., 2024.
"Doubly multiplicative error models with long- and short-run components,"
Socio-Economic Planning Sciences, Elsevier, vol. 91(C).
- Alessandra Amendola & Vincenzo Candila & Fabrizio Cipollini & Giampiero M. Gallo, 2020. "Doubly Multiplicative Error Models with Long- and Short-run Components," Papers 2006.03458, arXiv.org.
- Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
- Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022.
"A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model,"
CREATES Research Papers
2022-01, Department of Economics and Business Economics, Aarhus University.
- Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
- Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
- Christian Conrad & Onno Kleen, 2020. "Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 19-45, January.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019.
"International Financial Markets,"
Post-Print
halshs-02183053, HAL.
Cited by:
- Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
- Anne Peguin-Feissolle & Bilel Sanhaji, 2016.
"Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models,"
Post-Print
hal-04218472, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
Cited by:
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model,"
Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
- Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
- Jian Hua & Bilel Sanhaji, 2015.
"Volatility spillovers across daytime and overnight information between China and world equity markets,"
Post-Print
hal-04218479, HAL.
- Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5407-5431, October.
Cited by:
- Dey Shubhasis & Sampath Aravind, 2017. "Dynamic Linkages between Gold and Equity Prices: Evidence from Indian Financial Services and Information Technology Companies," Working papers 251, Indian Institute of Management Kozhikode.
- Yang-Chao Wang & Jui-Jung Tsai & Qiaoqiao Li, 2017. "Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect," IJFS, MDPI, vol. 5(1), pages 1-19, January.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
AMSE Working Papers
1516, Aix-Marseille School of Economics, France.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
Cited by:
Articles
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Econometrics, MDPI, vol. 11(3), pages 1-36, August.
See citations under working paper version above.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016.
"Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
See citations under working paper version above.
- Anne Peguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print hal-04218472, HAL.
- Jian Hua & Bilel Sanhaji, 2015.
"Volatility spillovers across daytime and overnight information between China and world equity markets,"
Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5407-5431, October.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Post-Print hal-04218479, HAL.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 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-CMP: Computational Economics (2) 2015-04-02 2015-08-19. Author is listed
- NEP-ETS: Econometric Time Series (2) 2015-04-02 2015-08-19. Author is listed
- NEP-ECM: Econometrics (1) 2015-04-02. Author is listed
- NEP-ORE: Operations Research (1) 2015-04-02. Author is listed
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