The impact of market-wide volatility on time-varying risk : evidence from Qatar stock exchange
Year of publication: |
August 2018
|
---|---|
Authors: | Al Refai, Hisham M. ; Hassan, Gazi M. |
Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 17.2018, 2S, p. 239-258
|
Subject: | Schwert and Seguin (1990) model | time-varying risk | asymmetric volatility | EGARCH model | Qatar Stock Exchange (QSE) | Volatilität | Volatility | Katar | Qatar | ARCH-Modell | ARCH model | Börse | Bourse | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Risiko | Risk | Schätzung | Estimation | Risikoprämie | Risk premium |
-
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim, (2015)
-
Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang, (2018)
-
Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele, (2017)
- More ...
-
Can macroeconomic factors explain equity returns in the long run? : the case of Jordan
Hassan, Gazi M., (2012)
-
The impact of the Iraq war on the country beta of MENA markets
Al Refai, Hisham M., (2011)
-
Testing the risk-return tradeoff in the emerging market of Jordan : what role for financial crises?
Al Refai, Hisham M., (2016)
- More ...