Publications
Affes, Z and Hentati-Kaffel, R. >Forecast bankruptcy using a blend of clustering and MARS model: case of US banks, color:#333333;mso-ansi-language:EN>Annals of Operations Research, (), 1-38. https://link.springer.com/article/10.1007/s10479-018-2845-8
Affes, Z and Hentati-Kaffel, R. PredictingUS Banks Bankruptcy: Logit Versus Canonical Discriminant Analysis, Computational Economics, , Volume (), 2017, Pages 1-46. https://link.springer.com/article/10.1007/s10614-017-96980?wt_mc=Internal.Event.1.SEM.ArticleAuthorOnlineFirst#citeas
Hentati-Kaffel, R. (2016) Structured Products under Generalized Kappa Ratio, Economic Modelling, http://www.sciencedirect.com/science/article/pii/S0264999316300608
Hentati-Kaffel, R. and Prigent, J.-L. (2016). Optimal positioning in financial derivatives under mixture distributions, Economic Modelling, Volume 52, Part A, January 2016, Pages 115-124. http://www.sciencedirect.com/science/article/pii/S0264999315000383.
Hentati-Kaffel, R. and de Peretti, P. (2015). Detecting performance persistence of hedge funds, Journal of Banking & Finance, Volume 50, January 2015, Pages 608-615, http://www.sciencedirect.com/science/article/pii/S0264999315000462
Hentati-Kaffel, R. and de Peretti, P. (2015). Generalized runs tests to detect randomness in hedge funds returns, Economic Modelling, Volume 52, Part A, January 2016, Pages 115-124., http://www.sciencedirect.com/science/article/pii/S0378426614002660.
Hentati, R., and Prigent, J.-L. (2011): "VaR and Omega measures for hedge funds portfolios: A copula approach", Bankers, Markets and Investors, n°110-Janv-Fév 2011.ISSN 11674946.(http://www.revue-banque.fr/bankers-markets-investors/numero-110.htm)
Hentati, R., and Prigent, J.-L. (2011): "the maximization of financial performance measures within mixture models Statistics & Decisions International mathematical journal for stochastic methods and models. Volume 28, Issue 1, Pages 63--80, ISSN (Print) 0721-2631, DOI: 10.1524/stnd.2011.1083.
Hentati., R, Kaffel,. A and Prigent.,JL (2010): "Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measuresV, International Journal of Business, 15(1), 2010, ISSN: 1083-4346. (http://www.craig.csufresno.edu/IJB/Volumes.htm)
Ravina, Alessandro and Hentati Kaffel, Rania, The Impact of Low-Carbon Policy on Stock Returns (August 28, 2019). Available at SSRN: https://ssrn.com/abstract=3444168 or http://dx.doi.org/10.2139/ssrn.3444168
Contributions dans ouvrage collectif
Rania Hentati, Jean-Luc Prigent. Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Group Publishing Limited, pp.83-109, 2010, International Symposia in Economic Theory and Econometrics ; 20, <10.1108/S1571-0386(2010)0000020009>.
Hentati R., Prigent J., (2011), PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS, International Conference on Applied Financial Economics, Jun 2011, samos, Greece. National and Kapodistrian University of Athens, Greece, pp.565-572, 2011
Prépublications soumises ou à soumettre :
Hentati-Kaffel, R, Ravina, A., : The Impact of Low-Carbon Policy on Stock Returns . https://ssrn.com/abstract=3444168 or http://dx.doi.org/10.2139/ssrn.3444168 (2020)
Hentati-Kaffel, R : Black-Litterman optimization with returns prediction using Neural Network and deep learning methods.(2022)
Articles en préparation:
Hentati-Kaffel, R : Predicting cryptocurrency trends using Neural Network Machine Learning models. (2022) (
Ben Yahia, S., Sanchez, J., and Hentati-Kaffel, R : Quantifying the Impact of Sentiments on Stock Prices in the Energy Sector: An Analysis Using FinBERT (2024)