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Long Memory in the Croatian and Hungarian Stock Market Returns

Festic, Mejra - 2013

The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market efficiency. The starting working hypothesis that there...

Persistent link: https://www.econbiz.de/10013082337

The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997 - 2010

Dajcman, Silvo - In: Finance a úvěr 62 (2012) 4, pp. 368-390

Persistent link: https://www.econbiz.de/10010118054

Tail dependence between Central and Eastern European and major European stock markets : a copula approach

Dajcman, Silvo - In: Applied economics letters 20 (2013) 16/18, pp. 1567-1573

Persistent link: https://www.econbiz.de/10010221720

The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997 - 2010

Dajcman, Silvo - In: Finance a úvěr 62 (2012) 4, pp. 368-390

Persistent link: https://www.econbiz.de/10009740491

Time-varying long-range dependence in stock market returns and financial market disruptions : a case of eight European countries

Dajcman, Silvo - In: Applied economics letters 19 (2012) 10/12, pp. 953-957

Persistent link: https://www.econbiz.de/10009633132

Asymmetric correlation of sovereign bond yield dynamics in the Eurozone

Dajcman, Silvo - In: Panoeconomicus 60 (2013) 6, pp. 775-789

Persistent link: https://www.econbiz.de/10010341632

Are stock market returns in the CEE countries and in the Eurozone, Russia, and the United States asymmetric? : the latest evidence

Dajcman, Silvo - In: Eastern European economics 51 (2013) 6, pp. 34-53

Persistent link: https://www.econbiz.de/10011551138

Bank risk aversion and the risk- taking channel of monetary policy in the euro area

Dajcman, Silvo - In: Panoeconomicus 64 (2017) 5, pp. 607-621

Persistent link: https://www.econbiz.de/10011795410

Comovement between stock and bond markets and the 'flight-to-quality' during financial market turmoil : a case of the Eurozone countries most affected by the sovereign debt crisis of 2010 - 2011

Dajcman, Silvo - In: Applied economics letters 19 (2012) 16/18, pp. 1655-1662

Persistent link: https://www.econbiz.de/10009683991

The long-run determinants of consumption in the Euro Area : is there a role for uncertainty?

Dajcman, Silvo - In: Ekonomický časopis : časopis pre ekonomickú … 66 (2018) 10, pp. 969-986

Persistent link: https://www.econbiz.de/10012152941

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