Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Year of publication: |
February 2015
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Authors: | Assaf, Ata |
Published in: |
Journal of multinational financial management. - Amsterdam [u.a.] : North-Holland, ISSN 1042-444X, ZDB-ID 1117284-8. - Vol. 29.2015, p. 30-45
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Subject: | Asymmetric Power ARCH model | MENA equity markets | Value at Risk models | Risikomaß | Risk measure | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | MENA-Staaten | MENA countries | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Aktienindex | Stock index | Volatilität | Volatility | Portfolio-Management | Portfolio selection |
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