Τhis paper focuses on the performance of three alternative Value-at-Risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time period from 2004 to 2008. The...

The aim of this study is to assess whether fuel prices in Greece respond asymmetrically to changes in the global oil prices. To do so, we depart from the current practice in the literature that focuses on fuel prices. Rather, we consider the mark-up of both the refineries and retailers. Even...

The main objective of the paper is to test whether post-earnings announcement drift (PEAD) is a consequence of the presence of self-attribution bias in investors’ expectations, regarding permanent earnings. This is the first study to examine empirically this issue, in the sample of Athens...

Purpose – The aim is to evaluate the performance of symmetric and asymmetric ARCH models in forecasting both the one‐day‐ahead Value‐at‐Risk (VaR) and the realized intra‐day volatility of two equity indices in the Athens Stock Exchange. Design/methodology/approach – Two volatility...

Purpose - The aim is to evaluate the performance of symmetric and asymmetric ARCH models in forecasting both the one-day-ahead Value-at-Risk (VaR) and the realized intra-day volatility of two equity indices in the Athens Stock Exchange. Design/methodology/approach - Two volatility specifications...

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for the Athens Stock Exchange General Index. We model VaR for...