Imed Gammoudi

Taibah University

Imed Gammoudi obtained his Ph.D. degree in Economics Science from the University of Tunis, Tunisia. He studied Applied Mathematics at University of Paris IX - Dauphine. He also studied Statistics and Economy at the Paris-based National School of Statistics and Economic Administration (ENSAE). Actually, He is an Associate professor of Quantitative Methods. He is a Head of many scientific research projects. He participated in several international conferences with papers in the field of risk management, quantitative finance and econometrics. He is also author of several scientific publications in indexed international reviews.

Articles by Imed Gammoudi

Original research

Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model

This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.

16 Aug 2016