Value-at-risk in frontier markets : adapted models and evidences from two North-African stock exchanges
Mhamed-Ali El-Aroui and Wafa Snoussi
| Year of publication: |
2020
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|---|---|
| Authors: | El-Aroui, Mhamed-Ali ; Snoussi, Wafa |
| Published in: |
African finance journal. - Cape Town : Africagrowth Institute, ISSN 2959-0922, ZDB-ID 2852153-5. - Vol. 22.2020, 1, p. 1-20
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| Subject: | Value-at-Risk | Frontier Markets | Asymmetric information | Over-predictability | Market-risk | Liquidity | Backtesting | Morocco | Tunisia | Tunesien | Marokko | Risikomaß | Risk measure | Asymmetrische Information | Schwellenländer | Emerging economies | 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/10012316628