On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries
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- Baumöhl, Eduard & Lyócsa, Štefan, 2012. "Constructing weekly returns based on daily stock market data: A puzzle for empirical research?," MPRA Paper 43431, University Library of Munich, Germany.
- Lyócsa, Štefan & Baumöhl, Eduard, 2012. "Testing the covariance stationarity of CEE stocks," MPRA Paper 43432, University Library of Munich, Germany.
More about this item
Keywordsvolatility persistence; GARCH model; ICSS procedure; CEE stock markets;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-16 (All new papers)
- NEP-ETS-2011-01-16 (Econometric Time Series)
- NEP-TRA-2011-01-16 (Transition Economics)
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