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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, France
https://sites.google.com/site/up8led/
RePEc:edi:ledp8fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.
  2. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.
  3. Julien Chevallier & Stéphane Goutte & David Guerreiro & Sophie Saglio & Bilel Sanhaji, 2021. "Routledge Advances in Applied Financial Econometrics," Post-Print halshs-04250213, HAL.
  4. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "Financial Mathematics, Volatility and Covariance Modelling," Post-Print halshs-02183052, HAL.
  5. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
  6. Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
  7. 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.
  8. Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Post-Print hal-04218479, HAL.
  9. 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.

    repec:hal:journl:hal-01457382 is not listed on IDEAS
    repec:hal:journl:hal-01448238 is not listed on IDEAS

Articles

  1. 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.
  2. 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.
  3. Sanhaji Bilel, 2017. "Testing for Nonlinearity in Conditional Covariances," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
  4. 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.
  5. 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.

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

  1. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print hal-04218488, HAL.

    Cited by:

    1. Doan, Bao & Jayasuriya, Dulani & Lee, John B. & Reeves, Jonathan J., 2024. "Cryptocurrency systematic risk dynamics," Economics Letters, Elsevier, vol. 241(C).
    2. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.

  2. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "Financial Mathematics, Volatility and Covariance Modelling," Post-Print halshs-02183052, HAL.

    Cited by:

    1. 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.
    2. Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
    3. Christian Conrad & Robert F. Engle, 2021. "Modelling Volatility Cycles: The (MF)2 GARCH Model," Working Paper series 21-05, Rimini Centre for Economic Analysis.
    4. 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.
    5. 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.
    6. 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.
    7. Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
    8. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.

  3. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

    Cited by:

    1. 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.

  4. 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.

    Cited by:

    1. 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.

  5. Jian Hua & Bilel Sanhaji, 2015. "Volatility spillovers across daytime and overnight information between China and world equity markets," Post-Print hal-04218479, HAL.

    Cited by:

    1. 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.
    2. 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.

  6. 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.

    Cited by:

Articles

  1. 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.
  2. 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.
  3. 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.

More information

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Statistics

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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.
  1. NEP-CMP: Computational Economics (2) 2015-04-02 2015-08-19. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2015-04-02 2015-08-19. Author is listed
  3. NEP-ECM: Econometrics (1) 2015-04-02. Author is listed
  4. NEP-ORE: Operations Research (1) 2015-04-02. Author is listed

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