Jose Arreola Hernandez, Mazin Al Janabi, Forecasting of dependence, market and investment risks of a global index portfolio, Journal of Forecasting (2020)
Waqas Hanif, Jose Arreola Hernandez, Perry Sadorsky and Seong Min Yoon, Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric? North American Journal of Economics and Finance (2020)
Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Stelios Bekiros, Elie Bouri, David Roubaud, Spillover and its Determinants across Eurozone Credit Market Sectors, Applied Economics (2019)
Stelios Bekiros, Jose Arreola Hernandez, Gazi Salah Uddin, Ahmed Taneem Muzaffar, The predictability of crude oil market: a hybrid multi-scale wavelet approach, Journal of Forecasting (Forthcoming)
Jose Arreola Hernandez, Walid Mensi, Shawkat Hammoudeh, Tail dependence risk exposure and diversification potential of Islamic and conventional banks, Applied Economics (2019)
Arreola Hernandez Jose, Syed Jawad Hussain Shahzad, Gazi Salah Uddin, Sang Hoon Kang, Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach, Resources Policy (2019)
Jose Arreola Hernandez, Jawad Hussain Shahzad, Rania Jammazi, Khamis Hamed Al-Yahyaee, Risk Spillovers between Oil and Agricultural Commodities, Energy Policy (2018).
Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Stelios Bekiros, Muhammad Shabaz, Ghulam Mujtaba Kayani, A systemic risk analysis of Islamic equity markets using vine copula and delta CovaR modeling, Journal of International Financial Markets, Institutions & Money (2018).
Gazi Salah Uddin, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad, Axel Hedström, Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets, Energy Economics (2018)
Gazi Salah Uddin, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad, Seong-Min Yoon, Time-varying evidence of efficiency, decoupling and diversification of conventional and Islamic stocks, International Review of Financial Analysis (2018)
Stelios Bekiros, Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Mobeen Ur Rehman, Directional predictability and time-varying spillovers between stock markets and economic cycles, Economic Modelling (2018)
Al Janabi Mazin M.A., Arreola-Hernandez Jose, Berger Theo, Khuong Nguyen Duc. (2016) Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. European Journal of Operational Research
Arreola-Hernandez Jose, Al Janabi Mazin A.M., Hammoudeh Shawkat, Khuong Nguyne Duc and Reboredo Juan Carlos (2016). Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach. Applied Economics
Bekiros Stelios, Arreola-Hernandez Jose, Hammoudeh Shawkat and Khuong Nguyen Duc (2015). Multivariate dependence risk and portfolio optimization: an application to mining stock portfolios. Resources Policy, 46, 1-11
Arreola-Hernandez Jose (2014). Are oil and gas stocks from the Australian market riskier than the coal and uranium stocks? Dependence risk analysis and portfolio optimization. Energy Economics, 45, 528-536
Refereed Proceedings Discipline-Based Scholarship
Jose Arreola Hernandez, Syed Jawad Hussain Shahzad, Thi Hong Van Hoang, 2018. An approach for nonlinear, symmetric and asymmetric dependence in multivariate dependence analysis, 35th Annual Conference of the French Finance Association, Paris, May.
Arreola, J., Powell, R., (2013). Optimal risk minimization of Australian energy and mining portfolios of stocks under multiple risk measures. Paper presented at the 20th International Congress on Modeling and Simulation, Adelaide, Australia, pp. 1–7
Arreola, J., Allen, D., Powell, R., (2013). Dependence estimation and controlled CVaR portfolio optimization of a highly kurtotic Australian mining sample of stocks. Paper presented at the 20th International Congress on Modeling and Simulation, Adelaide, Australia, pp. 1–7