Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk
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- Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
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More about this item
KeywordsExtreme value theory MENA stock markets Hill estimator VaR;
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