Browsing School of Economic Sciences and Business by Author "Nekhili, Ramzi"
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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. ...
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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 ...