| Conditionally heteroscedastic factorial HMMs for time series in finance M Saidane, C Lavergne Applied Stochastic Models in Business and Industry 23 (6), 503-529, 2007 | 13 | 2007 |
| Modèles à Facteurs Conditionnellement Hétéroscédastiques et à Structure Markovienne Cachée pour les Séries Financières M Saidane Université Montpellier II-Sciences et Techniques du Languedoc 52, 87, 2006 | 10 | 2006 |
| A Monte-Carlo-based Latent Factor Modeling Approach with Time-Varying Volatility for Value-at-Risk Estimation: Case of the Tunisian Foreign Exchange Market: Case of the … M Saidane Industrial Engineering & Management Systems 16 (3), 400-414, 2017 | 9 | 2017 |
| Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models M Saidane, C Lavergne Computational Economics 34 (4), 323-364, 2009 | 9 | 2009 |
| Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models M Saidane Croatian Operational Research Review, 241-255, 2019 | 7 | 2019 |
| Generalized linear factor models: A new local EM estimation algorithm M Saidane, X Bry, C Lavergne Communications in Statistics-Theory and Methods 42 (16), 2944-2958, 2013 | 7 | 2013 |
| Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series? M Saidane, C Lavergne American Journal of Mathematical and Management Sciences 31 (1-2), 73-116, 2011 | 7 | 2011 |
| A new HMM learning algorithm for event studies: empirical evidence from the French stock market M Saidane, C Lavergne Applied Economics Research Bulletin 1 (1), 1-10, 2008 | 7 | 2008 |
| On factorial HMMs for time series in finance M Saidane, C Lavergne The Kyoto economic review 75 (1), 63-90, 2006 | 7 | 2006 |
| Switching latent factor value-at-risk models for conditionally heteroskedastic portfolios: A comparative approach M Saidane Communications in Statistics: Case Studies, Data Analysis and Applications 8 …, 2022 | 5 | 2022 |
| An EM-based viterbi approximation algorithm for mixed-state latent factor models M Saidane, C Lavergne Communications in Statistics—Theory and Methods 37 (17), 2795-2814, 2008 | 5 | 2008 |
| A structured variational learning approach for switching latent factor models M Saidane, C Lavergne AStA Advances in Statistical Analysis 91 (3), 245-268, 2007 | 5 | 2007 |
| Mixture of Probabilistic Factor Analyzers for Market Risk Measurement: Empirical Evidence From The Tunisian Foreign Exchange Market MN Mosbahi, M Saidane, S Messabeb Risk Governance and Control: Financial Markets & Institutions 7 (2-1), 158-169, 2017 | 4 | 2017 |
| A New Viterbi-Based Decoding Strategy for Market Risk Tracking: an Application to the Tunisian Foreign Debt Portfolio during 2010-2012 M Saidane Statistika: Statistics and Economy Journal 102 (4), 454-470, 2022 | 3 | 2022 |
| A new online method for event detection and tracking: empirical evidence from the French stock market M Saidane, C Lavergne American Journal of Finance and Accounting 1 (1), 20-51, 2008 | 3 | 2008 |
| Learning and Inference in Mixed-State Conditionally Heteroskedastic Factor Models Using Viterbi Approximation M Saidane, C Lavergne Lecture Notes in Computer Science 3994, 372-379, 2006 | 3 | 2006 |
| Sequential Forecasting Strategies for Crypto Portfolio Allocation: A Dynamic Latent Factor Analysis Approach M Saidane مجلة العلوم الإدارية و الإقتصادية 16 (2), 61-84, 2023 | 2 | 2023 |
| Modelling and Forecasting Volatility Dynamics Using Quadratic GARCH-Factor Models: Empirical Evidence from International Foreign Exchange Markets C Lavergne, M Saidane Stock Returns: Cyclicity, Prediction and Economic Consequences, 2009 | 2 | 2009 |
| A generalized pseudo-Bayesian EM algorithm for switching dynamic factor analysis M Saidane, C Lavergne International Journal of Computer Science and Network Security 6 (5), 30-37, 2006 | 2 | 2006 |
| Risk assessment in cryptocurrency portfolios: a composite hidden Markov factor analysis framework M Saidane Statistics, Optimization & Information Computing 12 (2), 463-487, 2024 | 1 | 2024 |
