Kein, Alar - Majandusteaduskond, Tallinna Tehnikaülikool - 2005
The paper examines the role of foreign stock marketsí price and volatility movements in the price and volatility movements in the Estonian stock market. Using daily log returns from July 8th, 1996 through December 31st, 2003 and applying a VAR-EGARCH framework, the author finds that there is a...
