August 2016
Intermediate to advanced
304 pages
10h 8m
English
Modeling and forecasting stock market volatility have been the subject of a large number of studies in the finance literature, particularly after the stock market crash of 1987. The majority of the studies investigating the topic of stock market volatility concentrated on developed economies at first, and more recently emerging markets were considered. However, research on frontier markets is limited. The purpose of this chapter is to enter the ongoing debate on volatility forecasting by modeling ...
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