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dc.contributor.authorWdowiński, Piotren_US
dc.contributor.authorMalecka, Martaen_US
dc.date.accessioned2010-03-17en_US
dc.date.accessioned2010-08-18T11:22:03Z-
dc.date.available2010-08-18T11:22:03Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39039-
dc.description.abstractARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns go off the long run trajectory is different in case of positive and negative market news. Thus it is indispensable to employ asymmetric models being a modification of a traditional GARCH. In the paper we used an approach of Engle and Ng (1993) to test for asymmetric effects in stock indices of developed and Central European stock markets.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper Monetary Policy and International Finance 2974en_US
dc.subject.jelC10en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordasymmetryen_US
dc.subject.keywordvolatilityen_US
dc.subject.keywordstock marketen_US
dc.subject.keywordtransitionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwAktienindexen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwVergleichen_US
dc.subject.stwSchätzungen_US
dc.subject.stwIndustriestaatenen_US
dc.subject.stwÜbergangswirtschaften_US
dc.subject.stwOsteuropaen_US
dc.titleAsymmetry in volatility: A comparison of developed and transition stock marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn621234680en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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