Search Results - subject:"Asymmetric Power ARCH model"

Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions

Assaf, Ata - In: Journal of Multinational Financial Management 29 (2015) C, pp. 30-45

use the Asymmetric Power ARCH model to analyze four MENA emerging markets, namely Egypt, Jordan, Morocco, and Turkey … and therefore introduce the Asymmetric Power ARCH model to estimate the Value-at-Risk in each market. Then, we explore the …

Persistent link: https://www.econbiz.de/10011189775

Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions

Assaf, Ata - In: Journal of multinational financial management 29 (2015), pp. 30-45

Persistent link: https://www.econbiz.de/10011539511