Regime-switching behaviour in the conditional volatility of MENA stock market returns
Year of publication: |
2014
|
---|---|
Authors: | Bahloul, Slah ; Abid, Fathi |
Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 13.2014, 3, p. 253-278
|
Subject: | Time-varying volatility | MENA countries’ stock market | three-state Markov regime switching model | Granger causality test | Volatilität | Volatility | MENA-Staaten | MENA countries | Aktienmarkt | Stock market | Markov-Kette | Markov chain | Kausalanalyse | Causality analysis | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Schätzung | Estimation |
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