Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39039 
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dc.contributor.authorWdowiński, Piotren
dc.contributor.authorMalecka, Martaen
dc.date.accessioned2010-03-17-
dc.date.accessioned2010-08-18T11:22:03Z-
dc.date.available2010-08-18T11:22:03Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2974en
dc.subject.jelC10en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordasymmetryen
dc.subject.keywordvolatilityen
dc.subject.keywordstock marketen
dc.subject.keywordtransitionen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwVolatilitäten
dc.subject.stwFinanzmarkten
dc.subject.stwAktienindexen
dc.subject.stwARCH-Modellen
dc.subject.stwVergleichen
dc.subject.stwSchätzungen
dc.subject.stwIndustriestaatenen
dc.subject.stwÜbergangswirtschaften
dc.subject.stwOsteuropaen
dc.titleAsymmetry in volatility: A comparison of developed and transition stock markets-
dc.typeWorking Paperen
dc.identifier.ppn621234680en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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