Work

Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?

Year: 2014

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2014.06.006

Authors: Chaker Aloui, Hela ben Hamida

Institutions: King Saud University, Imam Mohammad ibn Saud Islamic University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Imam Mohammed Ibn Saud Islamic University

OpenAlex ID: W2033119263

FWCI: 4.875

Cites: 84

Cited by: 23

Related to: 10