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Persistent link: https://www.econbiz.de/10004971151
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This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange by using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov switching framework. Modelling stock returns within...
Persistent link: https://www.econbiz.de/10005698524
This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov-Switching framework. Modelling stock returns within this...
Persistent link: https://www.econbiz.de/10005040030
This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers. The main findings are: (i) In contrast to the...
Persistent link: https://www.econbiz.de/10005040045
Persistent link: https://www.econbiz.de/10007586555
This paper examines the issue of mean and variance causality across four equity markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers among the stock markets of Cyprus, Athens, London...
Persistent link: https://www.econbiz.de/10012727533
This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov-Switching framework. Modelling stock returns within this...
Persistent link: https://www.econbiz.de/10012727564
Persistent link: https://www.econbiz.de/10003766291
In this paper we provide an investigation on the potential benefits that may exist for portfolio managers, private and institutional investors from domestic portfolio diversification. We employ daily data for the period 1996-2002 from the Cyprus Stock Exchange, recently established emerging...
Persistent link: https://www.econbiz.de/10004994309