← All authors Abdulnasser Hatemi-J United Arab Emirates University (per OpenAlex) · ORCID · OpenAlex
109 papers in scope · 105 published · 4 on the econ.EM arXiv · 6,056 citations · h-index 34 (over the papers listed here)
Papers (5 of 109)
working paper 2024 · arXiv
working paper 2024 · arXiv
working paper 2024 · arXiv
On a regime switching illiquid high volatile prediction model for cryptocurrencies
published 2023 · Journal of Economic Studies · 8 citations
with Youssef El-Khatib
Revisiting the effects of renewable and non-renewable energy consumption on economic growth for eight countries: asymmetric panel quantile approach
published 2023 · International Journal of Energy Sector Management · 21 citations
with Huthaifa Alqaralleh
working paper 2022 · 1 citations
Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches
published 2022 · Journal of Economic Studies · 3 citations
with Eduardo Roca, Alan Mustafa
Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return
published 2021 · Research in International Business and Finance · 1 citations · first circulated 2019
with Mohamed Ali Hajji, Youssef El-Khatib
published 2021 · Journal of Economic Studies · 3 citations · first circulated 2018
Option pricing with illiquidity during a high volatile period
published 2021 · Mathematical Methods in the Applied Sciences · 5 citations
with Youssef El-Khatib
The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
published 2021 · Asia Pacific Journal of Operational Research · 1 citations
with Mohamed Ali Hajji, Elie Bouri, Rangan Gupta
Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods
published 2021 · Economia Internazionale / International Economics
with Viyan Taha
no link
On the Valuation of Currency Options in Stressed Markets
published 2021 · Journal of Mathematics and Statistics
with Youssef El-Khatib
Pass-through of import cost into consumer prices and inflation in GCC countries: Evidence from a nonlinear autoregressive distributed lags model
published 2020 · International Review of Economics & Finance · 20 citations
with Mouyad Alsamara, Zouhair Mrabet
The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach
published 2020 · Journal of Economic Studies · 9 citations
with Youssef El-Khatib
A VBA module simulation for finding optimal lag order in time series models and its use on teaching financial data computation
published 2019 · Applied Computing and Informatics · 10 citations
with Alan Mustafa
Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis
published 2019 · Structural Change and Economic Dynamics · 50 citations · first circulated 2018
with Aviral Kumar Tiwari, Juncal Cuñado, Rangan Gupta
Option pricing in high volatile markets with illiquidity
published 2019 · AIP conference proceedings · 4 citations
with Youssef El-Khatib
Testing for Financial Market Integration of the UAE Market with the Global Market
published 2019 · Economia Internazionale / International Economics
with Safa Al-Mohana
no link
Insurance activity and economic performance: Fresh evidence from asymmetric panel causality tests
published 2018 · International Finance · 22 citations
with Chi-Chuan Lee, Chien-Chiang Lee, Rangan Gupta
Hidden panel cointegration
published 2018 · Journal of King Saud University - Science · 60 citations · first circulated 2011
The second order price sensitivities for markets in a crisis
published 2018 · Journal of King Saud University - Science · 3 citations
with Youssef El-Khatib
Option valuation and hedging in markets with a crunch
published 2017 · Journal of Economic Studies · 17 citations
with Youssef El-Khatib
Price sensitivities for a general stochastic volatility model
published 2017 · Nonlinear studies
with Youssef El-Khatib
Asymmetric causality between military expenditures and economic growth in top six defense spenders
published 2017 · Quality & Quantity · 44 citations · first circulated 2015
with Tsangyao Chang, Wen-Yi Chen, Feng-Li Lin, Rangan Gupta
The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests
published 2016 · Applied Economics · 97 citations
with Abdulrahman Al Shayeb, Eduardo Roca
Trade openness and economic development in the UAE: an asymmetric approach
published 2016 · Journal of Economic Studies · 109 citations
with Abdulrahman Al-Shayeb
Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note
published 2016 · Empirica · 24 citations
with Rangan Gupta, Axel Kasongo, Thabo Mboweni, Ndivhuho Netshitenzhe
BRIC and GIPS – who drives who? Evidence from newly developed asymmetric causality tests
published 2016 · Applied Economics · 2 citations
with Eduardo Roca
An extension of the asymmetric causality tests for dealing with deterministic trend components
published 2016 · Applied Economics · 46 citations
with Youssef El-Khatib
The causal interaction between financial development and human development in Bangladesh
published 2016 · Applied Economics Letters · 65 citations
with Mrittika Shamsuddin
Research output and economic growth in G7 countries: new evidence from asymmetric panel causality testing
published 2015 · Applied Economics · 55 citations · first circulated 2014
with Ahdi Noomen Ajmi, Ghassen El Montasser, Roula Inglesi-Lotz, Rangan Gupta
On the tourism-led growth hypothesis in the UAE: a bootstrap approach with leveraged adjustments
published 2015 · Applied Economics Letters · 24 citations
Portfolio selection: An alternative approach
published 2015 · Economics Letters · 29 citations
with Youssef El-Khatib
Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di cointegrazione nascosta
published 2015 · Economia Internazionale / International Economics · 1 citations
with Manuchehr Irandoust
no link
On the interaction between government spending and economic performance in Sweden: an asymmetric approach
published 2014 · Applied Economics Letters · 1 citations
Estimating the optimal hedge ratio in the presence of potential unknown structural breaks
published 2014 · Applied Economics · 4 citations · first circulated 2010
with Eduardo Roca
How integrated are real estate markets with the world market? Evidence from case-wise bootstrap analysis
published 2013 · Economic Modelling · 20 citations · first circulated 2011
with Eduardo Roca, Abdulrahman Al-Shayeb
On the causal nexus of remittances and poverty reduction in Bangladesh
published 2013 · Applied Economics · 67 citations
with Gazi Salah Uddin
Asymmetric generalized impulse responses with an application in finance
published 2013 · Economic Modelling · 83 citations
On Option Pricing in Illiquid Markets with Jumps
published 2013 · ISRN Mathematical Analysis · 3 citations
with Youssef El-Khatib
An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al mercato USA
published 2013 · Economia Internazionale / International Economics · 1 citations
with Julio Sarmiento-Sabogal
no link
An Empirical Investigation of the Potential Asymmetric Relationship between the Stock Market and the Exchange Rates in the UAE - Un esame empirico della potenziale relazione asimmetrica tra mercato azionario e tasso di cambio negli Emirati Arabi
published 2013 · Economia Internazionale / International Economics
with Abdulrahman Al Shayeb
no link
On the Calculation of Price Sensitivities with a JumpDiffusion Structure
published 2012 · Journal of Statistics Applications & Probability · 9 citations
with Youssef El-Khatib
Asymmetric interaction between government spending and terms of trade volatility
published 2012 · Journal of Economic Studies · 28 citations
with Manuchehr Irandoust
A bootstrap test for causality with endogenous lag length choice: theory and application in finance
published 2012 · Journal of Economic Studies · 183 citations · first circulated 2010
Is the causal nexus of energy utilization and economic growth asymmetric in the US?
published 2012 · Economic Systems · 64 citations
with Gazi Salah Uddin, Md. Gazi Salah Uddin
Testing for the government's intertemporal budget restriction in Brazil during 1823–1889
published 2012 · Applied Economics · 2 citations
with Fernando Zanella
Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing
published 2012 · Research in International Business and Finance · 38 citations
Stochastic optimal hedge ratio: theory and evidence
published 2011 · Applied Economics Letters · 7 citations · first circulated 2010
with Youssef El-Khatib
How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test
published 2011 · Economic Modelling · 25 citations
with Eduardo Roca
Asymmetric causality tests with an application
published 2011 · Empirical Economics · 859 citations
The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations
published 2011 · Research in International Business and Finance · 17 citations
with Manuchehr Irandoust
A re-examination of the unbiased forward rate hypothesis in the presence of multiple unknown structural breaks
published 2011 · Applied Economics · 4 citations
with Eduardo Roca
A re-examination of the Fisher effect using an alternative approach
published 2011 · Applied Economics Letters · 4 citations
Bootstrap Causality Tests Of The Relationship Between The Equity Markets Of The US And Other Developed Countries: Pre-And Post-September 11
published 2011 · Journal of Applied Business Research (JABR) · 7 citations
Controlling Money Supply And Price Level With Unknown Regime Shifts: The Case Of Chile
published 2011 · Journal of Applied Business Research (JABR) · 2 citations
with Manuchehr Irandoust
An empirical investigation between oil prices and the stock price in China and India
published 2011 · Corporate Ownership and Control · 3 citations
with Harminder Singh, Mohan Nandha
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions
published 2010 · Emerging Markets Finance and Trade · 28 citations
with Mazin A. M. Al Janabi, Manuchehr Irandoust
Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione all’Unione europea?
published 2010 · Economia Internazionale / International Economics
no link
An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation
published 2009 · International Review of Financial Analysis · 99 citations
with Mazin A. M. Al Janabi, Manuchehr Irandoust
An empirical analysis of the informational efficiency of Australian equity markets
published 2009 · Journal of Economic Studies · 9 citations
with Bryan Morgan
Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
published 2008 · Journal of Applied Statistics · 100 citations
Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?
published 2008 · Applied Economics · 55 citations
The Fisher effect: a Kalman filter approach to detecting structural change
published 2008 · Applied Economics Letters · 18 citations
with Manuchehr Irandoust
Estimating banks’ equity duration: a panel cointegration approach
published 2008 · Applied Financial Economics · 8 citations
with Eduardo Roca
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
published 2008 · Applied Economics Letters · 101 citations
Tests for cointegration with two unknown regime shifts with an application to financial market integration
published 2008 · Empirical Economics · 480 citations
Capital mobility in Sweden: a time-varying parameter approach
published 2007 · Applied Economics Letters · 5 citations
Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility
published 2007 · Applied Financial Economics · 6 citations
with Bryan Morgan
Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners
published 2007 · Applied Financial Economics · 13 citations · first circulated 2005
with Eduardo Roca
A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
published 2006 · Economic Modelling · 20 citations
with Eduardo Roca
Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
published 2006 · Applied Economics · 691 citations
Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
published 2006 · Applied Economics Letters · 33 citations
with Eduardo Roca
The response of industry employment to exchange rate shocks: evidence from panel cointegration
published 2006 · Applied Economics · 12 citations
with Manuchehr Irandoust
A bootstrap-corrected causality test: another look at the money–income relationship
published 2006 · Empirical Economics · 13 citations
with Manuchehr Irandoust
Bilateral Trade Elasticities Sweden Versus Her Major Trading Partners
published 2005 · American Review of Political Economy · 23 citations
An alternative method to test for contagion with an application to the Asian financial crisis
published 2005 · Applied Financial Economics Letters · 21 citations
The effect of regime shifts on the long-run relationships for Swedish money demand
published 2005 · Applied Economics · 11 citations
Is the tourism-led growth hypothesis valid for Turkey?
published 2005 · Applied Economics Letters · 574 citations
with Lokman Gündüz
A test for multivariate ARCH effects
published 2005 · Applied Economics Letters · 97 citations
Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries
published 2005 · Applied Financial Economics · 63 citations
with Eduardo Roca
Time-Varying estimates for the Natural Rate of Unemployment and the Philips Curve in the US using the Kalman Filter
published 2005 · Economia Internazionale / International Economics · 1 citations
no link
Stock Price and Volume Relation in Emerging Markets
published 2005 · Emerging Markets Finance and Trade · 79 citations
with Lokman Gündüz
Bilateral trade elasticities : Sweden versus her trade partners
published 2005 · American Review of Political Economy · 16 citations
with Manuchehr Irandoust
no link
Is the Equity Market Informationally Efficient? : Evidence from Leveraged Bootstrap Analysis
published 2005 · Economia Internazionale / International Economics · 2 citations
no link
Pricing strategy, mark-up adjustment and foreign competition in the car industry
published 2005 · International Journal of Automotive Technology and Management
with Manuchehr Irandoust
The effect of exchange rate changes on trade balances in the short and long run
published 2004 · Economics of Transition · 70 citations
An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
published 2004 · European Journal of Finance · 15 citations
with Eduardo Roca
Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis
published 2004 · Empirica · 8 citations
with Manuchehr Irandoust
Do birds of the same feather flock together?
published 2003 · Journal of International Financial Markets Institutions and Money · 27 citations
with Eduardo Roca
How productivity and domestic output are related to exports and foreign output in the case of Sweden
published 2003 · Empirical Economics · 31 citations
Multivariate tests for autocorrelation in the stable and unstable VAR models
published 2003 · Economic Modelling · 98 citations
Is the J-Curve Effect Observable for Small North European Economies?
published 2003 · Open Economies Review · 66 citations
A new method to choose optimal lag order in stable and unstable VAR models
published 2003 · Applied Economics Letters · 247 citations
Empirical Analysis of Business Growth Factors Using Swedish Data
published 2002 · Journal of Small Business Management · 244 citations
with Per Davidsson, Bruce A. Kirchhoff, Helena Gustavsson
Money Supply and the Informational Efficiency of the Stock Market in Korea: Evidence from an Alternative Methodology
published 2002 · Journal of Economic Integration · 12 citations
Multivariate-based causality tests of twin deficits in the US
published 2002 · Journal of Applied Statistics · 51 citations
with Ghazi Shukur
Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter
published 2002 · Applied Economics Letters · 20 citations · first circulated 2001
On the Causality Between Exchange Rates and Stock Prices: A Note
published 2002 · Bulletin of Economic Research · 105 citations
with Manuchehr Irandoust
Export performance and economic growth nexus in Japan: a bootstrap approach
published 2002 · Japan and the World Economy · 110 citations
Fiscal policy in Sweden: effects of EMU criteria convergence
published 2002 · Economic Modelling · 52 citations · first circulated 1999
Investigating Causal Relations between Fixed Investment and Economic Growth
published 2002 · Economia Internazionale / International Economics · 5 citations
with Manucherhr Irandoust
no link
Productivity Performance and Export Performance: A Time-Series Perspective
published 2001 · Eastern Economic Journal · 25 citations
with Manuchehr Irandoust
no link
Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?
published 2001 · Economia Internazionale / International Economics
with Manucherhr Irandoust
no link
Export performance and economic growth causality: An empirical analysis
published 2000 · Atlantic Economic Journal · 31 citations
with Manuchehr Irandoust
Exchange Rates and Interest Rates: can Their Causality Explain International Capital Mobility?
published 2000 · The International Trade Journal · 1 citations
with Manuchehr Irandoust
Time-series evidence for Balassa’s export-led growth hypothesis
published 2000 · Journal of International Trade & Economic Development · 69 citations
with Manuchehr Irandoust
The causal nexus of government spending and revenue in Finland: a bootstrap approach
published 1999 · Applied Economics Letters · 26 citations
with Ghazi Shukur
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