Asymmetric volatility and conditional expected returns : evidence from emerging market sectors
Year of publication: |
2017
|
---|---|
Authors: | Al Refai, Hisham M. ; Eissa, Mohamed Abdelaziz ; Zeitun, Rami |
Published in: |
International journal of emerging markets. - Bingley : Emerald, ISSN 1746-8809, ZDB-ID 2257280-6. - Vol. 12.2017, 2, p. 335-351
|
Subject: | Amman Stock Exchange | Asymmetric volatility | EGARCH-M | Global financial crisis (GFC) | Risk-return relationship | Sectoral return volatility | Volatilität | Volatility | Kapitaleinkommen | Capital income | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Welt | World | Schätzung | Estimation | Schwellenländer | Emerging economies | Aktienmarkt | Stock market |
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