Saker Sabkha

Maître de Conférences en Finance

Documents

Affiliation actuelle

Laboratoire d'Economie et de Gestion de l'Ouest (LEGO)

Identifiants chercheurs

Contact

Présentation

Maître de Conférences à l'Institut de Management - IAE de l'Université Bretagne Sud Chercheur au Laboratoire LEGO

Domaines de recherche

Finance [q-fin.GN]

Compétences

Finance de marchés Produits dérivés Finance quantitative Financial markets Derivative markets Quantitative finance

Publications

Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models

Saker Sabkha , Christian de Peretti , Sabrine Mallek

Vie et Sciences de l'Entreprise, 2020, N° 209 (1), pp.27-56. ⟨10.3917/vse.209.0027⟩

Article dans une revue hal-01769390v1

International risk spillover in the sovereign credit markets: An empirical analysis

Saker Sabkha , Christian de Peretti , Dorra Mezzez Hmaied

Managerial Finance, 2019, 45 (8), pp.1020-1040. ⟨10.1108/MF-11-2017-0490⟩

Article dans une revue hal-01652526v1

Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach

Saker Sabkha , Christian de Peretti , Dorra Hmaied

Research in International Business and Finance, 2019, 50, pp.106 - 133. ⟨10.1016/j.ribaf.2019.04.005⟩

Article dans une revue hal-03484603v1

On the informational market efficiency of the worldwide Sovereign Credit Default Swaps

Saker Sabkha , Christian de Peretti , Dorra Hmaied

Journal of Asset Management, 2019, 20 (7), pp.581-608. ⟨10.1057/s41260-019-00142-4⟩

Article dans une revue hal-01698006v1

The Credit Default Swap market contagion during recent crises: International evidence

Saker Sabkha , Christian de Peretti , Dorra Hmaied

Review of Quantitative Finance and Accounting, 2018, 53 (1), pp.1-46. ⟨10.1007/s11156-018-0741-6⟩

Article dans une revue hal-01572510v1

Regime-dependent linkages between credit risk and commodities: A copula-based analysis across crises and sectors

Saker Sabkha

14st International Research Meeting in Business and Management, Jul 2025, Nice, France

Communication dans un congrès hal-05556468v1

Linking CDS and the Energy Sector: Investment Strategies for a Sustainable Future

Saker Sabkha

31st Annual Global Finance Conference, Jun 2024, Sardaigne, Italy

Communication dans un congrès hal-05556446v1

Stablecoins Volatility Amidst Turbulence: Key Events Analysis and Forecasting Techniques

Saker Sabkha

5th Financial Economics Meeting (FEM-2024), Dec 2024, Paris, France

Communication dans un congrès hal-05556462v1

Deep neural networks for Credit Default Swap Prediction

Saker Sabkha

7th International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND), Jun 2023, Paris, France

Communication dans un congrès hal-05556437v1

The Spillover effect between Macroeconomic Variables and Stock Markets Dynamics: Evidence from the MENA zone.

Saker Sabkha

Maghrebian Finance and Economics Symposium : Post-crisis recovery, May 2022, Marrakech, Morocco

Communication dans un congrès hal-05556428v1

The impact of oil market conditions on the sovereign CDS volatility: An artificial neural network self-exciting threshold auto-regressive (ANN-SETAR) approach

Saker Sabkha

10th International Research Meeting in Business and Management (IRMBAM), Jul 2019, Nice, France

Communication dans un congrès hal-05556418v1

Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A self-exciting threshold autoregression approach.

Saker Sabkha

9th International Research Meeting in Business and Management (IRMBAM), Jul 2018, Nice, France

Communication dans un congrès hal-05556413v1

Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A self-exciting threshold autoregression approach.

Saker Sabkha

35th Spring International Conference of the French Finance Association, May 2018, Paris, France

Communication dans un congrès hal-05556404v1

On the informational market efficiency of the worldwide Sovereign CDS

Saker Sabkha

10th International Finance Conference, Apr 2018, Hammamet, Tunisia

Communication dans un congrès hal-05556393v1

International Risk Spillover in the Sovereign Credit Markets: An Empirical Analysis

Saker Sabkha

5th International Conference in Finance, Dec 2017, Sousse, Tunisia

Communication dans un congrès hal-05556380v1

International financial contagion: Evidences based on Sovereign CDS market during the GFC and the European debt crisis

Saker Sabkha

9th International Finance Conference 2017, Mediterranean Financial Summit, Mar 2017, Paris, France

Communication dans un congrès hal-05556362v1

On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market

Saker Sabkha , Christian de Peretti

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⟩

Chapitre d'ouvrage hal-01710398v1

Geopolitical Risk and Exchange Rate Dynamics Across Country Groups: Evidence from Panel Local Projections

Saker Sabkha , Yossri Dribek

2026

Pré-publication, Document de travail hal-05556090v1

Geopolitical Risk, Inflation, and Commodity Shocks in MENA: Evidence from a VECM-HAC-DCC Framework

Nesrine Mechri , Saker Sabkha

2023

Pré-publication, Document de travail hal-05299155v1

Artificial Intelligence, Algorithmic Herding and Systemic Fragility in Financial Markets

Saker Sabkha , Hamdi Jbir

2025

Pré-publication, Document de travail hal-05556083v1

Trade-Policy Uncertainty vs. Geopolitical Risk: What Moves Sovereign CDS in the Backstop Era, 2015-2025

Saker Sabkha , Andrea Teira-Fachado

2026

Pré-publication, Document de travail hal-05556120v1

Tail dependence between corporate CDS and commodity Markets : International evidence using IGARCH-Copulas

Saker Sabkha , Rihem Braham

2024

Pré-publication, Document de travail hal-05556106v1

Worldwide financial markets reactions to the Covid-19 epidemic situation: A hybrid FIEGARCH-Deep learning approach

Saker Sabkha , Sabrine Mallek

2023

Pré-publication, Document de travail hal-05556340v1

On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets

Saker Sabkha

Business administration. Université de Lyon; Institut des hautes études commerciales (Carthage, Tunisie), 2018. English. ⟨NNT : 2018LYSE1127⟩

Thèse tel-02436324v2

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