Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach
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References listed on IDEAS
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- Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
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- Babecký, Jan & Komárek, Luboš & Komárková, Zlatuše, 2008. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," The Warwick Economics Research Paper Series (TWERPS) 849, University of Warwick, Department of Economics.
- Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.
- Anita Radman Peša & Mejra Festić, 2012. "Testing the “EU Announcement Effect” on Stock Market Indices and Macroeconomic Variables in Croatia Between 2000 and 2010," Prague Economic Papers, University of Economics, Prague, vol. 2012(4), pages 450-469.
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More about this item
Keywordsvolatility modelling; conditional variance; non-linearity; asymmetric GARCH; G-7; transition economies;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- P52 - Economic Systems - - Comparative Economic Systems - - - Comparative Studies of Particular Economies
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
- NEP-ETS-2004-05-09 (Econometric Time Series)
- NEP-FIN-2004-05-09 (Finance)
- NEP-FMK-2004-05-09 (Financial Markets)
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