Asymmetric stochastic volatility in central and eastern European stock markets
The goal of this paper is to investigate the asymmetric impact of innovations on volatility and the relationship between the stock return and volatility dynamics in the case of Central and Eastern European (CEE) markets using the framework of asymmetric stochastic volatility models. The empirical fi...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2016-06-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/1187.pdf
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