Does heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies
Year of publication: |
2012
|
---|---|
Authors: | Alfreedi, Ajab A. ; Isa, Zaidi ; Hassan, Abu |
Published in: |
Journal of Statistical and Econometric Methods. - International Scientific Press, ISSN 2241-0376. - Vol. 1.2012, 1, p. 111-131
|
Publisher: |
International Scientific Press |
Subject: | GCC | stock market volatility | ICSS-GARCH | heavy-tailed conditional density |
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