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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Publicado en:	Journal of North African Studies Vol. 17; no. 2; pp. 195 - 215
Autores principales:	Boubaker, Adel, Makram, Beljid
Formato:	Artículo
Publicado:	Taylor & Francis Ltd Mar2012
Materias:	Africa Stock exchanges Distribution (Probability theory) Gaussian distribution Stock prices Portfolio management (Investments) Risk Central limit theorem Autoregression (Statistics) Management
Acceso en línea:	Ver este registro en EBSCOhost