Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?
Year of publication: |
2014
|
---|---|
Authors: | Aloui, Chaker ; Hamida, Hela ben |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 29.2014, C, p. 349-380
|
Publisher: |
Elsevier |
Subject: | Value-at-risk | Expected shortfall | Long memory | Structural breaks | GARCH-type models | Stock markets |
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