Volatility regimes of selected central European stock returns: a Markov switching GARCH approach
This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021. The period of more than 20 years enabled to analyse the behaviour of returns and their volatility during...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Vilnius Gediminas Technical University
2022-04-01
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| coleção: | Journal of Business Economics and Management |
| Assuntos: | |
| Acesso em linha: | https://journals.vilniustech.lt/index.php/JBEM/article/view/16648 |
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