Search Results - subject:"c-DCC-FIAPARCH"

Guesmi, Khaled; Abid, Ilyes; Creti, Anna; Ftiti, Zied - In: European journal of comparative economics 17 (2020) 2, pp. 155-183

multivariate corrected dynamic conditional correlation fractionally integrated asymmetric power ARCH (c-DCC-FIAPARCH) process …

Persistent link: https://www.econbiz.de/10012433724

TEULON, Frédéric; GUESMI, Khaled; MANKAI, Selim - Institut de Préparation à l'Administration et à la … - 2014

This paper evaluates the time-varying integration of the Singapore stock market in the ASEAN-5 region based on

Persistent link: https://www.econbiz.de/10010799068

Boubaker, Heni; Guesmi, Khaled; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

Persistent link: https://www.econbiz.de/10010860562

Guesmi, Khaled; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2013

conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for …

Persistent link: https://www.econbiz.de/10010754807

Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133

Persistent link: https://www.econbiz.de/10011451684

Teulon, Frédéric; Guesmi, Khaled; Mankai, Selim - In: Economic Modelling 43 (2014) C, pp. 217-224

conditional version of the International Capital Asset Pricing Model (ICAPM) with c-DCC-FIAPARCH parameters. This model allows for …

Persistent link: https://www.econbiz.de/10010939692

Teulon, Frédéric; Guesmi, Khaled; Mankai, Selim - In: Economic modelling 43 (2014), pp. 217-224

Persistent link: https://www.econbiz.de/10010502156