Cherif Guermat's Outputs (2)

The connectedness between crude oil and financial markets: Evidence from implied volatility indices (2016)
Journal Article

In this paper we exploit newly introduced implied volatility indexes to investigate the directional risk transfer from oil to US equities, Euro/Dollar exchange rates, precious metals and agricultural commodities. We find significant volatility transm... Read More about The connectedness between crude oil and financial markets: Evidence from implied volatility indices.

Some extensions of the CAPM for individual assets (2016)
Journal Article

© 2016 Elsevier Inc. There is ample evidence that stock returns exhibit non-normal distributions with high skewness and excess kurtosis. Experimental evidence has shown that investors like positive skewness, dislike extreme losses and show high level... Read More about Some extensions of the CAPM for individual assets.