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Value‐at‐risk adjusted to the specificities of emerging markets : An analysis for the Tunisian market
Snoussi, Wafa; El‐Aroui, Mhamed‐Ali - In: International Journal of Emerging Markets 7 (2012) 1, pp. 86-100
Purpose – The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation methods of the Value‐at‐Risk (VaR) adopted in...
Persistent link: https://www.econbiz.de/10014788223
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Value-at-risk adjusted to the specificities of emerging markets : an analysis for the Tunisian market
Snoussi, Wafa; El-Aroui, Mhamed-Ali - In: International journal of emerging markets 7 (2012) 1, pp. 86-100
Persistent link: https://www.econbiz.de/10009547204
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Duration dependence and mean reversion : an attempt of identification in Tunisian stock market
Bejaoui, Azza; Karaa, Adel; Mahat, Emna - In: The journal of applied business research 31 (2015) 1, pp. 185-196
Persistent link: https://www.econbiz.de/10010502645
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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
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On the impact of long memory on market risk : pre- and post-crisis evidences ; long memory and stock market risk
Ben Sassi, Salim; Bejaoui, Azza - In: Fractal approaches for modeling financial assets and …, (pp. 42-62). 2018
Persistent link: https://www.econbiz.de/10011860757
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Co-movements and spillovers in GCC financial and commodity markets during turbulent periods : a quantile VAR connectedness approach/pdf
Alnafisah, Hind; Loukil, Sahar; Bejaoui, Azza; Jeribi, Ahmed - 2024
Persistent link: https://www.econbiz.de/10015359608