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dc.contributor.authorApergis, Nicholas
dc.contributor.authorEleftheriou, Sofia
dc.date.accessioned2019-03-14T17:33:19Z
dc.date.available2019-03-14T17:33:19Z
dc.date.issued2001-03
dc.identifier.urihttp://hdl.handle.net/10545/623549
dc.description.abstractThis paper investigates the volatility of the Athens Stock excess stock returns over the period 1990–1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.en
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherSpringeren
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectStock Returnsen
dc.subjectConditional Variance Return Seriesen
dc.subjectConditional Volatilityen
dc.subjectARCH modellingen
dc.titleStock returns and volatility: Evidence from the Athens Stock market indexen
dc.typeArticleen
dc.contributor.departmentUniversity of Ioanninaen
dc.contributor.departmentThessaloniki Stock Exchangeen
dc.identifier.journalJournal of Economics and Financeen


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