Browsing by Author "Nekhili, Ramzi"

Now showing items 1-2 of 2

  • A Market Risk Model for Asymmetric Distributed Series of Return 

    Giannopoulos, Kostas; Nekhili, Ramzi (2012)
    In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...

  • Volatility Spillovers and Price Interdependencies; A Dynamic non Parametric Approach 

    Giannopoulos, Kostas; Nekhili, Ramzi; Koutmos, Gregory (International Research Journal of Finance and Economics, 2010)
    This paper investigates the volatility spillovers of four major equity markets using a new approach namely, the Filtered Historical Simulation approach (FHS). The FHS captures very effectively the changes ...