Lithuanian stock market analysis using a set of Garch models
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References listed on IDEAS
- Norbert Funke & Akimi Matsuda, 2006.
"Macroeconomic News and Stock Returns in the United States and Germany,"
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- Charlotte Christiansen & Angelo Ranaldo, 2006. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Working Papers 2006-02, Swiss National Bank.
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- Grant McQueen, 2004. "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 915-949.
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- Yu Hsing, 2011. "Macroeconomic Variables and the Stock Market: the Case of Lithuania," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 031-037, June.
- Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.
- Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
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