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The Tunisian stock market index volatility: Long memory vs. switching regime · Study

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ArticleThe Tunisian stock market index volatility: Long memory vs. switching regime

Lanouar Charfeddine2013

Article2013

The Tunisian stock market index volatility: Long memory vs. switching regime

Lanouar Charfeddine · Ahdi Noomen Ajmi

33 citations·0/0 files stored·Emerging Markets Review

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 2003Modeling and Forecasting Realized Volatility

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2018Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data 2016Do oil producing countries offer international diversification benefits? Evidence from GCC countries

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Year2013

Typearticle

Published2013-05-23

VenueEmerging Markets Review

ISSN-L1566-0141

Languageen

Citations33

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ememar.2013.05.003

openalex_workW1994419681

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