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Mazin A. M. Al Janabi · Study

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Mazin A. M. Al Janabi

16 works· latest 2020· 3 institutionscluster: provisionalORCID 0000-0002-2249-932X

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Citations680

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Most cited in this library

An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation2009 · 99 citations
Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability2020 · 81 citations
Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach2014 · 61 citations
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios2016 · 56 citations
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach2019 · 44 citations

Works

16 shown

Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability

International Journal of Finance & Economics·2020·4 authors

81citations

Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management

Journal of Modelling in Management·2020·1 author

41citations

Forecasting of dependence, market, and investment risks of a global index portfolio

Journal of Forecasting·2019·2 authors

32citations

Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach

Physica A Statistical Mechanics and its Applications·2019·3 authors

44citations

Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model

International Review of Financial Analysis·2019·4 authors·Open access

35citations

Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

European Journal of Operational Research

·2016

·4 authors

·Open access

56citations

Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Journal of Asset Management·2015·4 authors·Open access

27citations

Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach

Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)·2014·5 authors·report·Open access

61citations

Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

Economic Modelling·2013·1 author

38citations

Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives

Annals of Operations Research·2012·1 author

41citations

A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints

Service Industries Journal·2010·1 author

28citations

Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions

Emerging Markets Finance and Trade·2010·3 authors

26citations

An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation

International Review of Financial Analysis·2009·3 authors

99citations

Integrating Liquidity Risk Factor into a Parametric Value at Risk Method

The Journal of Trading·2008·1 author

32citations

Foreign‐exchange trading risk management with value at risk

The Journal of Risk Finance·2006·1 author

18citations

Trading Risk Management: Practical Applications to Emerging Markets

Palgrave Macmillan UK eBooks·2005·1 author·chapter

21citations