Saif-Ur Rehman
Biographic Data
| ID | 7544858 |
|---|---|
| NAME | Saif-Ur Rehman |
| GIVEN NAMES | Saif-Ur |
| FAMILY NAME | Rehman |
| SIGNATURE | REHMAN S |
| AFFILIATIONS | University of Modern Sciences |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2016 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 0 |
Pricing of risk and volatility dynamics on an emerging stock market
This study analyses risk-return trade-off and behaviour of various volatility dynamics including: volatility, its persistence, mean reversion and speed of mean reversion along with asymmetry and leverage effect on the Pakistani stock market by employing aggregate (aggregate market level) and disaggregate (sectoral level) monthly data for the period from 1998 to 2012. Three generalised autoregressive conditional heteroscedasticity models were appl…
No prominent works on this page.
Pricing of risk and volatility dynamics on an emerging stock market
This study analyses risk-return trade-off and behaviour of various volatility dynamics including: volatility, its persistence, mean reversion and speed of mean reversion along with asymmetry and leverage effect on the Pakistani stock market by employing aggregate (aggregate market level) and disaggregate (sectoral level) monthly data for the period from 1998 to 2012. Three generalised autoregressive conditional heteroscedasticity models were appl…
Autoregressive conditional heteroskedasticity (1 work) · Econometrics (1 work) · Economics (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Forward volatility (1 work) · Heteroscedasticity (1 work) · Market Dynamics and Volatility (1 work) · Mean reversion (1 work)