Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions
Year of publication: |
2010
|
---|---|
Authors: | Janabi, Mazin A. M. Al ; Hatemi-J, Abdulnasser ; Irandoust, Manuchehr |
Published in: |
Emerging Markets Finance and Trade. - M.E. Sharpe, Inc., ISSN 1540-496X. - Vol. 46.2010, 5, p. 39-47
|
Publisher: |
M.E. Sharpe, Inc. |
Subject: | emerging markets | expected return | GARCH-M | Gulf Cooperation Council (GCC) | risk management | volatility |
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