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The aim of this article is to develop a methodology to estimate the interest rate yield curve and its dynamics in the Tunisian bond market, which is considered as an illiquid market with a low trading volume. To achieve this, first, we apply the cubic spline interpolation method to deal with the...
Persistent link: https://www.econbiz.de/10011099950
The objective of this article is to investigate the behaviour of the time-varying volatility in 11 Middle East and North African (MENA) countries’ stock market using a three-state Markov regime switching model over the period from 30 October 2006 to 21 October 2011. We find that MENA...
Persistent link: https://www.econbiz.de/10011137889