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The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical stock data of selected companies. Security Market Line...
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The article deals with a typical phenomenon of financial time series - volatility. These time series usually embody … intermittent periods of relative "calm" and quite high variability. A volatility modelling of time series is made with the help of … special econometric volatility models which characterize the so-called conditional heteroskedasticity. The goal of this paper …
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The article deals with a numerical comparison of impacts of financial crises on the stock market over the last one hundred years. The goal of the analysis is to investigate, according to certain criteria, whether the current crisis on the stock market is more serious than the previous ones.
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monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it …
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