Regime-switching behaviour in the conditional volatility of MENA stock market returns
Slah Bahloul; Fathi Abid
| Year of publication: |
2014
|
|---|---|
| Authors: | Bahloul, Slah ; Abid, Fathi |
| Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 13.2014, 3, p. 253-278
|
| Subject: | Time-varying volatility | MENA countries’ stock market | three-state Markov regime switching model | Granger causality test | Volatilität | Volatility | MENA-Staaten | MENA countries | Aktienmarkt | Stock market | Markov-Kette | Markov chain | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| 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/10010492033