Maziar Sahamkhadam

Personal Details

First Name:	Maziar
Middle Name:
Last Name:	Sahamkhadam
Suffix:
RePEc Short-ID:	psa2019
	[This author has chosen not to make the email address public]
	https://lnu.se/en/staff/maziar.sahamkhadam/

Affiliation

Institutionen för Nationalekonomi och Statistik
Ekonomihögskolan
Linnéuniversitet

Kalmar/Växjö, Sweden
https://lnu.se/mot-linneuniversitetet/Organisation/ekonomihogskolan/mot-ekonomihogskolan/nationalekonomi/
RePEc:edi:inlnuse (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.

   Cited by:

   1. Tang, Ou & Rehme, Jakob & Cerin, Pontus, 2022. "Levelized cost of hydrogen for refueling stations with solar PV and wind in Sweden: On-grid or off-grid?," Energy, Elsevier, vol. 241(C).

2. Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2021. "Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis," Working Paper Series in Economics and Institutions of Innovation 488, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
   • Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 46(PB).

   Cited by:

   1. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
      • Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
   2. Ioannis Passas & Konstantina Ragazou & Eleni Zafeiriou & Alexandros Garefalakis & Constantin Zopounidis, 2022. "ESG Controversies: A Quantitative and Qualitative Analysis for the Sociopolitical Determinants in EU Firms," Sustainability, MDPI, vol. 14(19), pages 1-17, October.
   3. Alberto Barroso del Toro & Laura Vivas Crisol & Xavier Tort-Martorell, 2022. "Comparing the Impacts of Sustainability Narratives on American and European Energy Shareholders: A Multi-Event Study Analysing Reactions to News before and during COVID-19," Sustainability, MDPI, vol. 14(23), pages 1-18, November.
   4. Zhang, Huilin, 2022. "Mandatory corporate social responsibility disclosure and firm innovation: Evidence from a quasi-natural experiment," Finance Research Letters, Elsevier, vol. 47(PB).
   5. Hans Lööf & Maziar Sahamkhadam & Andreas Stephan, 2023. "Incorporating ESG into Optimal Stock Portfolios for the Global Timber & Forestry Industry," Journal of Forest Economics, now publishers, vol. 38(2), pages 133-157, June.
      • Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Incorporating ESG into optimal stock portfolios for the global timber & forestry industry," Working Paper Series in Economics and Institutions of Innovation 490, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
   6. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
   7. Chen, Jing & Zhao, Deqiang & Liu, Xinghe & Xu, Cheng & Liu, Luyao, 2022. "Home Sweet Home: Do Local CEOs Curb Stock Price Crash Risk?," Finance Research Letters, Elsevier, vol. 50(C).
   8. Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2022. "Risk-return trade-offs in the context of environmental impact: a lab-in-the-field experiment with finance professionals," CEE-M Working Papers hal-03883121, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
      • Sébastien Duchêne & Adrien Nguyen-Huu & Dimitri Dubois & Marc Willinger, 2022. "Risk-return trade-offs in the context of environmental impact: a lab-in-the-field experiment with finance professionals," Working Papers hal-03883121, HAL.
   9. Özge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2022. "Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 29(5), pages 1782-1798, September.
      • Ozge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2021. "Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?," Papers 2106.15466, arXiv.org, revised Jun 2022.
   10. Pineau, Edouard & Le, Phuong & Estran, Rémy, 2022. "Importance of ESG factors in sovereign credit ratings," Finance Research Letters, Elsevier, vol. 49(C).
   11. Zhang, Jinjin & Wu, Jinyu & Luo, Yalin & Huang, Ziyan & He, Ruzhen, 2022. "COVID-19 pandemic, limited attention, and analyst forecast dispersion," Finance Research Letters, Elsevier, vol. 50(C).
   12. Zhi Chen, 2023. "Investigate The ESG Score Methodology," Papers 2312.00202, arXiv.org, revised Jan 2024.
   13. Wang, Linyu & Ji, Yifan & Ni, Zhongxin, 2023. "Spillover of stock price crash risk: Do environmental, social and governance (ESG) matter?," International Review of Financial Analysis, Elsevier, vol. 89(C).
   14. Dahlström, Petter & Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2023. "Science-based emission targets and risk-adjusted portfolio return: An analysis using global SBTi-validated stocks," Working Paper Series in Economics and Institutions of Innovation 492, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
   15. Guiyu Bai & Delin Meng, 2022. "Assessing Influence Mechanism of Management Overconfidence, Corporate Environmental Responsibility and Corporate Value: The Moderating Effect of Government Environmental Governance and Media Attention," IJERPH, MDPI, vol. 20(1), pages 1-19, December.
   16. Gregory, Richard Paul, 2022. "ESG scores and the response of the S&P 1500 to monetary and fiscal policy during the Covid-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 446-456.
   17. Palmieri, Egidio & Ferilli, Greta B. & Stefanelli, Valeria & Geretto, Enrico F. & Polato, Maurizio, 2023. "Assessing the influence of ESG score, industry, and stock index on firm default risk: A sustainable bank lending perspective," Finance Research Letters, Elsevier, vol. 57(C).
   18. Konstantina Ragazou & Ioannis Passas & Alexandros Garefalakis & Eleni Zafeiriou & Grigorios Kyriakopoulos, 2022. "The Determinants of the Environmental Performance of EU Financial Institutions: An Empirical Study with a GLM Model," Energies, MDPI, vol. 15(15), pages 1-15, July.
   19. Serge Darolles & Gaëlle Le Fol & Yuyi He, 2023. "Who can better push firms to go "green"? A look at ESG effects on stock returns," Post-Print hal-04462749, HAL.
   20. Simona Galletta & Sebastiano Mazzù, 2023. "ESG controversies and bank risk taking," Business Strategy and the Environment, Wiley Blackwell, vol. 32(1), pages 274-288, January.
   21. Du, Linda Y.L. & Sun, Jianfei, 2023. "Washing away their stigma? The ESG of “Sin” firms," Finance Research Letters, Elsevier, vol. 55(PB).
   22. Riccardo Savio & Edoardo D’Andrassi & Francesca Ventimiglia, 2023. "A Systematic Literature Review on ESG during the COVID-19 Pandemic," Sustainability, MDPI, vol. 15(3), pages 1-17, January.

3. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.

   Cited by:

   1. Serge B. Provost & Yishan Zang, 2024. "Nonparametric Copula Density Estimation Methodologies," Mathematics, MDPI, vol. 12(3), pages 1-35, January.

Articles

1. Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2022. "Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 46(PB).
   • Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2021. "Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis," Working Paper Series in Economics and Institutions of Innovation 488, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
   See citations under working paper version above.
2. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.

   Cited by:

   1. Liu, Weilong & Zhang, Yong & Liu, Kailong & Quinn, Barry & Yang, Xingyu & Peng, Qiao, 2023. "Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns," QBS Working Paper Series 2023/02, Queen's University Belfast, Queen's Business School.
   2. Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023. "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, vol. 56(1), pages 515-535, February.

3. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.

   Cited by:

   1. Maziar Sahamkhadam & Andreas Stephan, 2023. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for global financial crises," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2139-2166, December.

4. Uddin, Gazi Salah & Gençay, Ramazan & Bekiros, Stelios & Sahamkhadam, Maziar, 2019. "Enhancing the predictability of crude oil markets with hybrid wavelet approaches," Economics Letters, Elsevier, vol. 182(C), pages 50-54.

   Cited by:

   1. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
   2. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
   3. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
   4. Mustanen, Dmitri & Maaitah, Ahmad & Mishra, Tapas & Parhi, Mamata, 2022. "The power of investors’ optimism and pessimism in oil market forecasting," Energy Economics, Elsevier, vol. 114(C).
   5. Christos Floros & Georgios Galyfianakis, 2020. "Bubbles in Crude Oil and Commodity Energy Index: New Evidence," Energies, MDPI, vol. 13(24), pages 1-11, December.
   6. Manickavasagam, Jeevananthan & Visalakshmi, S. & Apergis, Nicholas, 2020. "A novel hybrid approach to forecast crude oil futures using intraday data," Technological Forecasting and Social Change, Elsevier, vol. 158(C).
   7. Shahzad, Umer & Jena, Sangram Keshari & Tiwari, Aviral Kumar & Doğan, Buhari & Magazzino, Cosimo, 2022. "Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices," Resources Policy, Elsevier, vol. 78(C).

5. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2018. "Portfolio optimization based on GARCH-EVT-Copula forecasting models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 497-506.

   Cited by:

   1. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
   2. Antonio Díaz & Carlos Esparcia, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, CEPII research center, issue 166, pages 1-22.
      • Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
   3. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
   4. Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022. "Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation," JRFM, MDPI, vol. 15(5), pages 1-23, May.
      • Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020. "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers 2009.11367, arXiv.org, revised Feb 2023.
   5. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
      • Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
   6. John Weirstrass Muteba Mwamba & Sutene Mwambetania Mwambi, 2021. "Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula," IJFS, MDPI, vol. 9(2), pages 1-22, May.
   7. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
   8. Xue Deng & Ying Liang, 2023. "Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 267-294, January.
   9. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
   10. Zhi, Bangdong & Wang, Xiaojun & Xu, Fangming, 2022. "Managing inventory financing in a volatile market: A novel data-driven copula model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 165(C).
   11. Zhi, Bangdong & Wang, Xiaojun & Xu, Fangming, 2020. "Impawn rate optimisation in inventory financing: A canonical vine copula-based approach," International Journal of Production Economics, Elsevier, vol. 227(C).
   12. Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021. "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers 2105.09473, arXiv.org.
   13. Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
   14. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin, 2019. "Portfolio strategy of International crude oil markets: A study based on multiwavelet denoising-integration MF-DCCA method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
   15. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
   16. M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023. "Does Green Improve Portfolio Optimisation?," Post-Print hal-04435509, HAL.
       • Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
   17. Rewat Khanthaporn, 2022. "Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields," PIER Discussion Papers 183, Puey Ungphakorn Institute for Economic Research.
   18. Fen Li & Zhehao Huang & Junhao Zhong & Khaldoon Albitar, 2020. "Do Tense Geopolitical Factors Drive Crude Oil Prices?," Energies, MDPI, vol. 13(16), pages 1-20, August.
   19. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
   20. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
   21. Xiao, Yang, 2020. "The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 173-186.
   22. Hanif, Waqas & Areola Hernandez, Jose & Troster, Victor & Kang, Sang Hoon & Yoon, Seong-Min, 2022. "Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
   23. Maziar Sahamkhadam & Andreas Stephan, 2019. "Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis," Papers 1912.10328, arXiv.org.
   24. Zhang, Xiaoming & Zhang, Tong & Lee, Chien-Chiang, 2022. "The path of financial risk spillover in the stock market based on the R-vine-Copula model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
   25. Nader Trabelsi & Aviral Kumar Tiwari, 2019. "Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation," Risks, MDPI, vol. 7(3), pages 1-20, July.
   26. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
   27. Díaz, Antonio & Esparcia, Carlos & López, Raquel, 2022. "The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 39-60.

Chapters

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More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-CWA: Central and Western Asia (2) 2021-06-14 2022-02-21. Author is listed
2. NEP-ENE: Energy Economics (2) 2021-03-22 2023-04-17. Author is listed
3. NEP-ENV: Environmental Economics (2) 2022-02-21 2023-04-17. Author is listed
4. NEP-FMK: Financial Markets (2) 2021-06-14 2022-02-21. Author is listed
5. NEP-FOR: Forecasting (2) 2020-02-03 2021-03-22. Author is listed
6. NEP-DES: Economic Design (1) 2023-04-17
7. NEP-RMG: Risk Management (1) 2021-06-14

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