Koutmos, Dimitrios - In: Global Business and Economics Review 13 (2011) 1, pp. 42-56
This paper examines the time-varying behaviour of beta risk and degree of volatility persistence in the daily stock returns of 30 industry portfolios consisting of firms from the NYSE, AMEX and NASDAQ stock exchanges. Using an exponential ARCH (EGARCH) for this purpose, it further examines the...