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An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns

โœ Scribed by Huffman, Stephen P.; Moll, Cliff R.

Book ID
121187145
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
272 KB
Volume
22
Category
Article
ISSN
1058-3300

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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
โœ Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P. Zarangas ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 235 KB ๐Ÿ‘ 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