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Persistent link: https://www.econbiz.de/10000583242
This research aims at evaluating among market risk measures to equity exposures on the Egyptian stock market, while utilising a variety of parametric and non-parametric methods to estimating volatility dynamics. Historical Simulation, EWMA (RiskMetrics), GARCH, GJR-GARCH, and Markov-Regime...
Persistent link: https://www.econbiz.de/10012844315
Persistent link: https://www.econbiz.de/10014424003