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Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk

โœ Scribed by A. Assaf


Book ID
116577385
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
336 KB
Volume
18
Category
Article
ISSN
1057-5219

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โœ M. Kozaki; A.-H. Sato ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 879 KB

We apply the Beck model, developed for turbulent systems that exhibit scaling properties, to stock markets. Our study reveals that the Beck model elucidates the properties of stock market returns and is applicable to practical use such as the Value-at-Risk estimation and the portfolio analysis. We p