Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27017
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dc.contributor.authorCuadro-Sáez, Lucíaen_US
dc.contributor.authorMoreno, Manuelen_US
dc.date.accessioned2007-06-29en_US
dc.date.accessioned2009-08-06T10:03:20Z-
dc.date.available2009-08-06T10:03:20Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/27017-
dc.description.abstractDaily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that accounts for the information content in prices and trading volumes: the volume weighted return. Then, we estimate a GARCH (1,) model for the IBEX-35 futures market that includes shocks arising from countries linked to the Spanish economy. Our empirical findings suggest that the impact of the relevant news coming from abroad and thus, it might be relevant to assess the linkage of one market to other economies.en_US
dc.language.isoengen_US
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen_US
dc.relation.ispartofseries|aKiel advanced studies working papers|x440en_US
dc.subject.jelG14en_US
dc.subject.jelG15en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordvolume weighted returnen_US
dc.subject.keywordtrading volumesen_US
dc.subject.keywordinternational transmission of newsen_US
dc.subject.keywordGARCHen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwInformationsverbreitungen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwTheorieen_US
dc.subject.stwSpanienen_US
dc.subject.stwWelten_US
dc.titleGARCH modeling of robust market returnsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn534560032en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:ifwasw:440-

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