Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions

Journal of Multinational Financial Management

Volumn 29, Issue , 2015, Pages 30-45

  Assaf, Ata ^a  

^a UNIVERSITY OF BALAMAND   (Lebanon)

Author keywords

Asymmetric Power ARCH model; MENA equity markets; Value at Risk models

Indexed keywords

EID: 84923050806     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mulfin.2014.11.002     Document Type: Article

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