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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

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

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

Modelling stock exchange index returns in different GDP growth regimes

Kavkler, Alenka; Festić, Mejra - In: Prague economic papers : a bimonthly journal of … 20 (2011) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10009316464

European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis

Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256

Persistent link: https://www.econbiz.de/10009680562

Long memory in the Croatian and Hungarian stock market returns

Festić, Mejra; Kavkler, Alenka; Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 30 (2012) 1, pp. 115-139

Persistent link: https://www.econbiz.de/10009567827

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