Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting
Bana Abuzayed, Nedal Al-Fayoumi and Lanouar Charfeddine
| Year of publication: |
May 2018
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| Authors: | Abuzayed, Bana ; Al-Fayoumi, Nedal ; Charfeddine, Lanouar |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 23, p. 2569-2599
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| Subject: | Sector analysis | volatility modelling | true versus spurious | long memory | VaR | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | VAR-Modell | VAR model | Aktienmarkt | Stock market | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schwellenländer | Emerging economies |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1403559 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011850296