Browsing Finance & Economics by Subject "volatility modelling"
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Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting
( Routledge , 2018 , Article)This study evaluates the sector risk of the Qatar Stock Exchange (QSE), a recently upgraded emerging stock market, using value-at-risk models for the 7 January 2007–18 October 2015 period. After providing evidence for true ...