Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

Faisal KhanCollege of Business, University of Modern Sciences, Dubai, UAECorrespondence[email protected]

Saif-Ur RehmanCollege of Business, University of Modern Sciences, Dubai, UAE

Hashim KhanDepartment of Management, COMSATS IIT, Islamabad, Pakistan

Tie XuProvost for Research and Internationalization, University of Modern Sciences, Dubai, UAE

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Wei-Jie Chen, Jing-Jing Yao & Yuan-Hai Shao. (2023) Volatility forecasting using deep neural network with time-series feature embedding. Economic Research-Ekonomska Istraživanja 36:1, pages 1377-1401.
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Nitesha Dwarika, Peter Moores-Pitt & Retius Chifurira. (2021) Volatility dynamics and the risk-return relationship in South Africa: A GARCH approach. Investment Management and Financial Innovations 18:2, pages 106-117.
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Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

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Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

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