Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework
<p>The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which representations within the GARCH family of models...
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| Autors principals: | , , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Nicolaus Copernicus University in Toruń
2015-12-01
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| Col·lecció: | Copernican Journal of Finance & Accounting |
| Matèries: | |
| Accés en línia: | https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/8193 |
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