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The Copula-GARCH model of conditional dependencies: An international stock market application

✍ Scribed by Eric Jondeau; Michael Rockinger

Book ID
116658749
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
661 KB
Volume
25
Category
Article
ISSN
0261-5606

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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 πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 235 KB πŸ‘ 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