Long memory properties on Tunisian sectorial stock market index volatilities : evidence from FIEGARCH model
Mohamed Fakhfekh and Ahmed Jeribi (Department of Financial and Accounting, Faculty of Economics and Management of Sfax (FSEGS), Tunisia), Nejib Hachicha (Department of Quantitative Methods, Faculty of Economics and Management of Sfax (FSEGS), Tunisia
| Year of publication: |
2015
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|---|---|
| Authors: | Fakhfekh, Mohamed ; Jeribi, Ahmed ; Hachicha, Nejib |
| Published in: |
International journal of sustainable economy. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-5804, ZDB-ID 2476560-0. - Vol. 7.2015, 4, p. 280-305
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| Subject: | Tunisian revolution | sectorial stock index | ICSS procedure | FIEGARCH model | Tunisia | Tunesien | Aktienindex | Stock index | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011546085