Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27017 
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dc.contributor.authorCuadro-Sáez, Lucíaen
dc.contributor.authorMoreno, Manuelen
dc.date.accessioned2007-06-29-
dc.date.accessioned2009-08-06T10:03:20Z-
dc.date.available2009-08-06T10:03:20Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aKiel Advanced Studies Working Papers |x440en
dc.subject.jelG14en
dc.subject.jelG15en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordvolume weighted returnen
dc.subject.keywordtrading volumesen
dc.subject.keywordinternational transmission of newsen
dc.subject.keywordGARCHen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwBörsenumsatzen
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwInformationsverbreitungen
dc.subject.stwARCH-Modellen
dc.subject.stwTheorieen
dc.subject.stwSpanienen
dc.subject.stwWelten
dc.titleGARCH modeling of robust market returns-
dc.typeWorking Paperen
dc.identifier.ppn534560032en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwasw:440en

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