Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management

European Journal of Operational Research

Volumn 134, Issue 3, 2001, Pages 481-492

  Harris, Richard D F ^a   Kucukozmen C Coskun ^a,b  

^a UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

^b CENTRAL BANK OF THE REPUBLIC OF TURKEY   (Turkey)

Author keywords

Conditional return distribution; Istanbul stock exchange; Nonlinear dependence; Risk management; Value at risk

Indexed keywords

FINANCE; STATISTICAL TESTS;

FINANCIAL RISK MANAGEMENT;

RISK MANAGEMENT;

EID: 0035502118     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(00)00265-4     Document Type: Article

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