Dr ARREOLA HERNÁNDEZ José

Associate Professor

Department : Finance and Accounting

Nationalities :

Teaching

  • Empirical Methods in Finance I
  • Financing New Ventures
  • Behavioral Finance
  • Global Risk ManagementFinancial Derivatives
  • Investment Analysis and Portfolio Management
  • Sources of Finance
  • Valuation, Mergers and Acquisitions
  • Corporate Finance
  • Statistics for Business and Economics
  • International Financial Management
  • Financial Structure and Corporate Governance
  • Debt Instruments and Securitization

Qualifications

  • PhD in Finance (2012 -2015)
  • MSc in Financial Engineering (2010 -2012)
  • BSc in Analytical Finance (2008 -2011)

Work Experience

Academic

  • Associate Professor, Finance and Accounting Academic Area, Rennes School of Business (September 2018 – Present)
  • Assistant Professor, Finance and Accounting Academic Area, Rennes School of Business (September 2017 – August 2018)
  • Researcher, Research Group with Strategic Focus in Finance & Macroeconomics, EGADE Business School, Mexico (Sept 2016 – Feb 2017)
  • Full-time Lecturer of Finance, Tecnológico de Monterrey, Mexico (Aug 2015 – Feb 2017)

Other professional activities

  • Reviewer for Academic Journals: Energy Economics, Applied Economics, and Emerging Markets Review; International Review of Financial Analysis

Research interests

  • Analysis of spill over effects
  • Dependence and correlation risks using copulas and vine copulas
  • Value-at-Risk and liquidity risk
  • CoVaR and vine CoVaR models
  • Optimization of investment portfolios using linear and nonlinear models combined with multiple risk measures
  • Risk management and portfolio diversification
  • Econometrics and financial derivatives
  • Energy Economics

Academic awards, honors and memberships

  • Member of the French Finance Association (2018)
  • Distinction as National Researcher, Level C National Research System (SNI), Conacyt (January 2017 – Present)
  • Best publication of the year 2016, within the Research Group with Strategic Focus in Finance and Macroeconomics, EGADE Business School, Mexico (December 2016)
  • Edith Cowan University Postgraduate Research Scholarship, Perth, Australia (2012 – 2015)

Intellectual contributions

Refereed Articles Discipline-Based Scholarship

  • 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 (Forthcoming)
  • Syed Jawad Hussain Shahzad, Thi Hong Van Hoang, Jose Arreola Hernandez, Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe, Finance Research Letters (Forthcoming)
  • Jawad Hussain Shahzad, Jose Arreola Hernandez, Waqas Hanif, Ghulam Mujtaba Kayani, Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume, Physica A: Statistical Mechanics and its Applications (2018)
  • 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)
  • Syed Jawad Hussain Shahzad, Jose Areola Hernandez, Mobeen Ur Rehman, Muhammad Zakaria, A global network topology of stock markets: Transmitters and receivers of spillover effects, Physica A: Statistical Mechanics and its Applications (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)
  • Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Stelios Bekiros, Mobeen Ur Rehman, Risk Transmitters and Receivers in global Currency markets, Finance Research Letters (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, Khuong Nguyen Duc, Al Janabi Mazin A. M., Hammoudeh Shawkat (2015). Time lag dependence, cross-correlation and risk analysis of U.S. energy and non-energy stock portfolios. Journal of Asset Management, 16, 7, 467-483
  • 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