Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International Journal of Finance & Economics 15 (2010) 4, pp. 331-350
In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or...