Dr José ARREOLA HERNÁNDEZ

Associate Professor

Department : Finance and Accounting

Nationalities :

Teaching

  • Empirical Methods in Finance I
  • Financing New Ventures
  • Behavioral Finance
  • Global Risk Management
  • Financial Derivatives
  • Investment Analysis and Portfolio Management
  • Corporate Finance
  • International Financial Management

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 (Selected Publications)

  • Syed Jawad Hussain Shahzad, Jose Arreola Hernandez, Gazi Salah Uddin, Lutfur Rahman, Muhammad Yahya, Currency market interdependenceacross frequencies and time scales: A high frequency wavelet and signed jumps approach, International Journal of Finance and Economics (Forthcoming)
  • Waqas Hanif, Jose Arreola Hernandez, Syed Jawad Hussain Shahzad, Thi Hong Van Hoang, Seong-Min Yoon (2020), Regional and copula estimation effects on EU and US energy equity portfolios, Applied Economics (Forthcoming)
  • Jose Arreola Hernandez, Sang Hoon Kang, Seong-Min Yoon, Syed Jawad Hussain Shahzad (2020) Spillovers and diversification potential of bank equity returns from developed and emerging America, North American Journal of Economics and Finance, 55.
  • Hanif, W., Arreola Hernandez, J., Sadorsky, P., Yoon, S.M. (2020) Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric? North American Journal of Economics and Finance, 51, 101065.
  • Arreola Hernandez, J., Al Janabi, M.A.M. (2020). Forecasting of dependence, market and investment risks of a global index portfolio, Journal of Forecasting, 39, 512-532.
  • Arreola Hernandez, J., Shahzad, S.J.H., Salah Uddin, G., Kang, S.H. (2019) Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach. Resources Policy, 62,588-601.
  • Shahzad, S.J.H., Hoang, T.H.V., Arreola Hernandez, J. (2019) Risk spillovers between large banks and the financial sector: Asymetric evidence from Europe. Finance Research Letters, 28, 153-159.
  • Shahzad, S.J.H., Bouri, E., Arreola Hernandez, J., Roubaud, D., Bekiros, S. (2019) Spillover across Eurozone credit market sectors and determinants. Applied Economics, 51, 59, 6333-6349.
  • Kang, S.H, Arreola Hernandez, J., Yoon, S.M. (2019) Who leads the inflation cycle in Europe? Inflation cycle and spillover influence among Eurozone and non-Eurozone economies. International Economics, 160, 56-71.
  • Kang, S.H., McIver, R.P., Arreola Hernandez, J. (2019) Co-movements between Bitcoin and Gold: A wavelet coherence analysis. Physica A: Statistical mechanics and its Applications, 536.
  • Salah Uddin, G., Arreola Hernandez, J., Shahzad, S.J.H., Yoon, S.M. (2018) Time-varying evidence of efficiency, decoupling and diversification of conventional and Islamic stocks. International Review of Financial Analysis, 56, 167-180.
  • Bekiros, S., Shahzad, S.J.H., Arreola Hernandez, J., Ur Rehman, M. (2018) Directional predictability and time-varying spillovers between stock markets and economic cycles. Economic Modelling, 69, 301-312.
  • Salah Uddin, G., Arreola Hernandez, J., Shahzad, S.J.H., Hedstrôm, A. (2018) Multivariate dependance and spillover effects accross energy commodities and diversification potentials of carbon assets. Energy Economics, 71, 35-46.
  • Shahzad, S.J.H., Arreola Hernandez, J., Bekiros, S., Shahbaz, M., Kayani, G. M. (2018) A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling . Journal of International Financial Markets, Institutions & Money, 56, 104-127.
  • Shahzad, S.J.H., Arreola Hernandez, J., Bekiros, S., Rehman, M. U. (2018) Risk transmitters and receivers in global currency markets. Finance Research Letters, 25, 1-9.
  • Shahzad, S.J.H., Arreola Hernandez, J., Al-Yahyaee, R.H., Jammazi, R. (2018) Asymmetric risk spillovers between oil and agricultural commodities. Energy Policy, 118, 182-198.
  • Al Janabi Mazin M.A., Arreola Hernandez Jose, Berger Theo, Khuong Nguyen Duc. (2017) Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. European Journal of Operational Research, 259, 3, 1121-1131.
  • Arreola Hernandez Jose, Hammoudeh Shawkat, Khuong Nguyne Duc, Al Janabi Mazin A.M., and Reboredo Juan Carlos (2017). Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach. Applied Economics, 49, 25, 2409–2427.
  • Bekiros Stelios, Arreola Hernandez Jose, Hammoudeh Shawkat, Khuong Nguyen Duc (2015). Multivariate dependence risk and portfolio optimization: an application to mining stock portfolios. Resources Policy, 46, Part 2, 1-11.
  • Arreola Hernandez J. (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