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An empirical application of the clean–surplus valuation model: the case of the Athens Stock Exchange

✍ Scribed by Karathanassis, G. A.; Spilioti, S. N.

Book ID
126536644
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
133 KB
Volume
15
Category
Article
ISSN
0960-3107

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Forecasting financial volatility of the
Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model
✍ Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P. Zarangas 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 235 KB 👁 1 views

## Abstract In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion