Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?-Reference-Cited by-同舟云学术

Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?

Published:2014-07 Issue: Volume:29 Page:349-380
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Aloui Chaker,Hamida Hela ben

Funder

Imam Mohammed Ibn Saud Islamic University

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference84 articles.

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5. Modeling and forecasting Value-at-risk in the UAE equity markets: The role of long memory, fat tails and asymmetries in return innovations;Al-Maghaireh;Review of Middle East Economics and Finance,2012

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