Volatility in the transition markets of Central Europe

Applied Financial Economics

Volumn 11, Issue 1, 2001, Pages 93-105

  Kasch Haroutounian, M ^a   Price, S ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCIAL MARKET; MARKET CONDITIONS; SPILLOVER EFFECT; TRANSITIONAL ECONOMY;

EUROPE;

EID: 0035128630     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100150210309     Document Type: Article

References (28)

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4. A capital asset pricing model with time varying covariances
5. ARCH models
6. Modelling the distribution of highly volatile exchange-rate time series
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9. Autoregressive conditional heteroscedasticity with estimates of variance of UK inflation
10. Discussion on Schwert (1990)
11. Modelling the persistence of conditional variances
12. Measuring and testing the impact of news on volatility
13. Multivariate simultaneous generalised GARCH
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18. Stochastic volatility
19. Relationship between the expected value and volatility of the nominal excess returns on stocks
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24. The econometrics of financial markets
25. Alternative models for conditional stock volatility