Degiannakis, Stavros; Livada, Alexandra; Panas, Epaminondas - In: Applied Economics 40 (2008) 23, pp. 3051-3067
In this article an asymmetric autoregressive conditional heteroskedasticity (ARCH) model is applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the estimated parameters of the...
