Article dans une revue

2020

ref_biblio

Saker Sabkha, Christian de Peretti, Sabrine Mallek. Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models. Vie et Sciences de l'Entreprise, 2020, N° 209 (1), pp.27-56. ⟨10.3917/vse.209.0027⟩. ⟨hal-01769390⟩

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2019

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Saker Sabkha, Christian de Peretti, Dorra Mezzez Hmaied. International risk spillover in the sovereign credit markets: An empirical analysis. Managerial Finance, 2019, 45 (8), pp.1020-1040. ⟨10.1108/MF-11-2017-0490⟩. ⟨hal-01652526⟩

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Saker Sabkha, Christian de Peretti, Dorra Hmaied. On the informational market efficiency of the worldwide Sovereign Credit Default Swaps. Journal of Asset Management, 2019, 20 (7), pp.581-608. ⟨10.1057/s41260-019-00142-4⟩. ⟨hal-01698006⟩

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Saker Sabkha, Christian de Peretti, Dorra Hmaied. Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach. Research in International Business and Finance, 2019, 50, pp.106 - 133. ⟨10.1016/j.ribaf.2019.04.005⟩. ⟨hal-03484603⟩

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2018

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Saker Sabkha, Christian de Peretti, Dorra Hmaied. The Credit Default Swap market contagion during recent crises: international evidence. Review of Quantitative Finance and Accounting, 2018, 53 (1), pp.1-46. ⟨10.1007/s11156-018-0741-6⟩. ⟨hal-04875550⟩

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Communication dans un congrès

2025

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Saker Sabkha. Regime-dependent linkages between credit risk and commodities: A copula-based analysis across crises and sectors. 14st International Research Meeting in Business and Management, Jul 2025, Nice, France. ⟨hal-05556468⟩

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2024

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Saker Sabkha. Linking CDS and the Energy Sector: Investment Strategies for a Sustainable Future. 31st Annual Global Finance Conference, Jun 2024, Sardaigne, Italy. ⟨hal-05556446⟩

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ref_biblio

Saker Sabkha. Stablecoins Volatility Amidst Turbulence: Key Events Analysis and Forecasting Techniques. 5th Financial Economics Meeting (FEM-2024), Dec 2024, Paris, France. ⟨hal-05556462⟩

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2023

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Saker Sabkha. Deep neural networks for Credit Default Swap Prediction. 7th International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND), Jun 2023, Paris, France. ⟨hal-05556437⟩

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2022

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Saker Sabkha. The Spillover effect between Macroeconomic Variables and Stock Markets Dynamics: Evidence from the MENA zone.. Maghrebian Finance and Economics Symposium : Post-crisis recovery, May 2022, Marrakech, Morocco. ⟨hal-05556428⟩

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2019

ref_biblio

Saker Sabkha. The impact of oil market conditions on the sovereign CDS volatility: An artificial neural network self-exciting threshold auto-regressive (ANN-SETAR) approach. 10th International Research Meeting in Business and Management (IRMBAM), Jul 2019, Nice, France. ⟨hal-05556418⟩

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2018

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Saker Sabkha. Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A self-exciting threshold autoregression approach.. 9th International Research Meeting in Business and Management (IRMBAM), Jul 2018, Nice, France. ⟨hal-05556413⟩

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Saker Sabkha. Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A self-exciting threshold autoregression approach.. 35th Spring International Conference of the French Finance Association, May 2018, Paris, France. ⟨hal-05556404⟩

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ref_biblio

Saker Sabkha. On the informational market efficiency of the worldwide Sovereign CDS. 10th International Finance Conference, Apr 2018, Hammamet, Tunisia. ⟨hal-05556393⟩

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2017

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Saker Sabkha. International Risk Spillover in the Sovereign Credit Markets: An Empirical Analysis. 5th International Conference in Finance, Dec 2017, Sousse, Tunisia. ⟨hal-05556380⟩

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ref_biblio

Saker Sabkha. International financial contagion: Evidences based on Sovereign CDS market during the GFC and the European debt crisis. 9th International Finance Conference 2017, Mediterranean Financial Summit, Mar 2017, Paris, France. ⟨hal-05556362⟩

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Chapitre d'ouvrage

2022

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Saker Sabkha, Christian de Peretti. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. Zied Ftiti; Hachmi Ben Ameur; Wael Louhichi. Financial and Economic Systems: Transformations and New Challenges, World Scientific, pp.187-212, 2022, ⟨10.1142/9781786349507_0008⟩. ⟨hal-01710398⟩

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Thèse

2018

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Saker Sabkha. On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets. Business administration. Université de Lyon; Institut des hautes études commerciales (Carthage, Tunisie), 2018. English. ⟨NNT : 2018LYSE1127⟩. ⟨tel-02436324v2⟩

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Pré-publication, Document de travail

2023

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Nesrine Mechri, Saker Sabkha. Geopolitical Risk, Inflation, and Commodity Shocks in MENA: Evidence from a VECM-HAC-DCC Framework. 2023. ⟨hal-05299155⟩

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