BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …