Overview
Economist at Higher Business School of Sfax (Tunisia). Research on option price information content and heterogeneous agent models of asset pricing.
Key Contributions / Features
- With Abderrahmen Aloulou; bidirectional Granger causality between forecast errors and switching in the asset price formation process; risk-neutral density extraction via Nadaraya-Watson kernel regression on the implied-volatility surface (Aït-Sahalia-Lo 2000); C(1,3)<0, t=−5.10 showing past switching reduces future forecast errors.
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