Assaf, Ata - In: Journal of Multinational Financial Management 29 (2015) C, pp. 30-45
In this paper, we examine the forecasting performance of the Value-at-Risk (VaR) models in the MENA equity markets. We use the Asymmetric Power ARCH model to analyze four MENA emerging markets, namely Egypt, Jordan, Morocco, and Turkey. While most empirical studies focus only on holding a long...