Search Results - "Dhifaoui, Zouhaier"

Connection between climatic change and international food prices: evidence from robust long-range cross-correlation and variable-lag transfer entropy with sliding windows approach by Dhifaoui, Zouhaier

“…As nations progress, the impact of climate change on food prices becomes increasingly substantial. While the influence of climate change on the yields of major…”
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Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets by Dhifaoui, Zouhaier

“…Determinism and non-linear behaviour in log-return and conditional volatility time series of the stock market index is examined for twenty-six countries. For…”
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Robust to noise and outliers estimator of correlation dimension by Dhifaoui, Zouhaier

“…The estimation of correlation dimension of continuous and discreet deterministic chaotic processes corrupted by an additive noise and outliers observations is…”
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Statistical moments of Gaussian kernel correlation sum and weighted least square estimator of correlation dimension and noise level by Dhifaoui, Zouhaier

“…In this paper, using non-central chi-squared distribution and polynomial chaos decomposition of a log-normal random variable, we derive the exact expressions…”
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Exploring the effect of climate risk on agricultural and food stock prices: Fresh evidence from EMD-Based variable-lag transfer entropy analysis by Dhifaoui, Zouhaier, Khalfaoui, Rabeh, Ben Jabeur, Sami, Abedin, Mohammad Zoynul

“…Climate has traditionally played an important role in the development of countries, owing to its inherent relationship with agricultural output and pricing…”
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Scale-wise Lyapunov exponent for bounded variation mappings by Dhifaoui, Zouhaier

“…The objective of this article is to study the properties of the maximal Lyapunov exponent (mLe) in the wavelet domain for one dimensional maps of bounded…”
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Linear and nonlinear linkage of conditional stochastic volatility of interbank interest rates: Empirical evidence of the BRICS countries by Dhifaoui, Zouhaier, Gasmi, Faicel

“…The purpose of this article is to detect a possible linear and nonlinear causal relationship between the conditional stochastic volatility of log return of…”
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Quantifying information transfer among clean energy, carbon, oil, and precious metals: A novel transfer entropy-based approach by Dhifaoui, Zouhaier, Khalfaoui, Rabeh, Abedin, Mohammad Zoynul, Shi, Baofeng

“…•A new variable-lag transfer entropy measure is proposed.•We combined the variable-lag relative transfer entropy with the EMD method.•Evidence of high…”
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Local correlation dimension of multidimensional stochastic process by Dhifaoui, Zouhaier, Bardet, Jean-Marc

“…The computation of the local correlation dimension is a way for estimating the Hausdorff dimension of the image of multidimensional stochastic processes. It…”
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Time‐varying partial‐directed coherence approach to forecast global energy prices with stochastic volatility model by Dhifaoui, Zouhaier, Ben Jabeur, Sami, Khalfaoui, Rabeh, Nasir, Muhammad Ali

“…For investors and policymakers, forecasting energy prices with accuracy is essential and plays a major role in the global bulk commodity markets. The current…”
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On wavelet analysis of the nth order fractional Brownian motion by Kortas, Hedi, Dhifaoui, Zouhaier, Ben Ammou, Samir

“…In this paper, we investigate the use of wavelet techniques in the study of the nth order fractional Brownian motion (n-fBm). First, we exploit the continuous…”
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Multiscale Lyapunov exponent for 2-microlocal functions by Dhifaoui, Zouhaier, Kortas, Hedi, Ammou, Samir Ben

“…The Lyapunov exponent is an important indicator of chaotic dynamics. Using wavelet analysis, we define a multiscale representation of this exponent which we…”
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