Volatility forecasting and risk management in some MENA stock markets : a nonlinear framework
Chaker Aloui (Department of Finance, College of Business Administration, King Saud University, Riyadh, Saudi Arabia)
| Year of publication: |
2015
|
|---|---|
| Authors: | Aloui, Chaker |
| Published in: |
Afro-Asian Journal of Finance and Accounting : AAJFA. - Genève [u.a.] : Inderscience Enterprises, ISSN 1751-6447, ZDB-ID 2416800-2. - Vol. 5.2015, 2, p. 160-192
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| Subject: | value-at-risk | VaR | expected shortfall | dual long memory | GARCH-type models | MENA stock markets | Aktienmarkt | Stock market | Risikomaß | Risk measure | Volatilität | Volatility | MENA-Staaten | MENA countries | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |