Modelling heavy tails and double long memory in North African stock market returns.

Modelling heavy tails and double long memory in stock returns is very important for financial asset pricing, asset allocation and risk management. In this paper, we demonstrate that an α-stable distribution is better fitted to the North African stock return data in TUNINDEX (Tunisia), MASI (Morocco)...

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Bibliographic Details

Published in:	Journal of North African Studies Vol. 17; no. 2; pp. 195 - 215
Main Authors:	Boubaker, Adel, Makram, Beljid
Format:	Article
Published:	Taylor & Francis Ltd Mar2012
Subjects:	Africa Stock exchanges Distribution (Probability theory) Gaussian distribution Stock prices Portfolio management (Investments) Risk Central limit theorem Autoregression (Statistics) Management
Online Access:	View this record in EBSCOhost