EUROPEAN EMERGING MARKETS AND THE WORLD MARKET VOLATILITY
This paper examines the volatility persi tence in three European emerging markets, Greece, Portugal, and Spain. Monthly value weighted index returns are computed and analyzed. A moving average TARCH model which accountsforasymmetryisestimated. Ourfindingsshowthattheasymmetricinfluenceofthepositivean...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
1999-03-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625115756-B4DK0.pdf |