Lyócsa, Štefan; Baumöhl, Eduard - Volkswirtschaftliche Fakultät, … - 2012
This paper investigates whether the daily stock returns of the Polish, Czech and Hungarian stock markets are covariance … widely accepted assumption of covariance stationarity, the stock returns in Central and Eastern European (CEE) stock markets … do not appear to be covariance stationary. Our results further suggest that the occurrence of unconditional volatility …