IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Remarks on Romanian Capital Market Volatility in the Framework of an Power ARCH (PARCH) Model

  • Bogdan DIMA

    (West University of Timisoara, Faculty of Economics and Business Administration, Romania)

  • Mircea Mihai ROB

    (West University of Timisoara, Faculty of Economics and Business Administration, Romania)

The recent evolution of the Romanian capital market is characterized by an increase in the market volatility as an expression of investors’ uncertainty about the global financial instability. Thus, the objective of this study is to provide an analytical framework for the analysis of the market volatility and to derive some empirical evidences base on such framework. The main results support the thesis of some recent structural changes in the market’ volatility pattern which had occurred as a direct effect of the financial and real crisis.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tje.uvt.ro/index.php/tje/article/download/43/pdf
Download Restriction: no

Article provided by West University of Timisoara, Romania, Faculty of Economics and Business Administration in its journal Timisoara Journal of Economics.

Volume (Year): 2 (2009)
Issue (Month): 2(6) ()
Pages: 77-82

as
in new window

Handle: RePEc:wun:journl:tje:v02:y2009:i2(6):a02
Contact details of provider: Postal: Str. J.H.Pestalozzi nr. 16, 300115, Timisoara
Phone: 004 0256 592506
Fax: 004 0256 5925002
Web page: http://www.feaa.uvt.ro

More information through EDIRC

Order Information: Postal: 16 J. H. Pestalozzi Street, 300115, Timisoara, Romania
Web: http://www.tje.uvt.ro Email:


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:wun:journl:tje:v02:y2009:i2(6):a02. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Romeo Margea)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.