Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our ...
Value at risk models are concerned with the estimation of conditional quantiles of a time series. Formally, these quantities are a function of conditional volatility and the respective quantile of the ...
Vol. 65, Special Issue 2: INDUSTRIAL INNOVATION AND ITS PERFORMANCE SELECTED PAPERS OF THE 9TH ANNUAL INTERNATIONAL CONFERENCE OF ORGANIZATIONAL INNOVATION (2015), pp. 17-33 (17 pages) Smooth ...
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