Remarks on Romanian Capital Market Volatility in the Framework of an Power ARCH (PARCH) Model
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.
Volume (Year): 2 (2009)
Issue (Month): 2(6) ()
|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.:
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
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.