Adnen Ben Nasr

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This paper introduces the new FITVGARCHmodel to describe both long memory and structural change behaviour in the volatility process by allowing for time varying dynamic structure in the conditional variance. The parameters of the conditional variance in the FIGARCHmodel are allowed to change smoothly over time.We derive an LM-type test for parameter(More)
Appropriate modeling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of nancial returns volatility. Given this, in this paper, we aim to model(More)
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical(More)
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