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Noise and efficient variance in the Indonesia Stock Exchange

✍ Scribed by Thomas Henker; Zaäfri A. Husodo

Book ID
116816904
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
377 KB
Volume
18
Category
Article
ISSN
0927-538X

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Asset allocation in the Athens stock exc
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✍ Panayiotis F. Diamandis; Anastassios A. Drakos; Georgios P. Kouretas; Leonidas P 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 349 KB

## ABSTRACT This paper provides an analysis of asset allocation using univariate portfolio GARCH models applied on daily data for the period January 1999 to December 2009 on stocks traded in the Athens Stock Exchange, a recently monitored emerging market. Our analysis adopts the variance sensitivit