[PDF] Top 20 The long memory behaviour of stock market volatility: evidence from the PIIGS countries
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The long memory behaviour of stock market volatility: evidence from the PIIGS countries
... in long memory does not find its roots in Finance/Economics as one should expect, but falls instead in the domain of a distinct branch of knowledge called ...faced the problem ... See full document
48
Elections and stock market volatility: evidence in OECD countries and developing countries
... confirm the relationship between politics and stock market ...In the paper by (Bialkowski, Gottschalk, & Wisniewski, 2008) the authors proceed to show that, in OECD ... See full document
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Trading the changes of stock market index composition: evidence from European markets
... a long time and several authors advocate the existence of abnormal ...in the Lisbon Stock Exchange, Duque and Madeira (2004) found different price effects for additions and deletions as ... See full document
25
Entropy: a new measure of stock market volatility?
... contribution of this paper is to compare two different approaches: one based on the statistical measure of the standard deviation or variance and the other one centered on the ... See full document
7
Financial disclosure and stock price volatility: evidence from Portugal and Belgium
... analyse the transparency of 63 firms of Baltic States of Estonia, Latvia and Lithuania, and compared them with 58 firms from Nordic countries (Denmark, Finland and Sweden), using ... See full document
42
Herd behaviour and market efficiency: evidence from the portuguese stock exchange
... markets the research on the subject of herd behaviour offers valuable insights for developing new models able to address the idiosyncrasies of human ...herd behaviour and ... See full document
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Is stock market volatility persistent? A fractionally integrated approach
... that long memory is related to a high degree of persistence of the observed data; hence, these two terms are used as ...ways of defining it. Basically, it can be expressed either ... See full document
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Evidence from the Euronext Lisbon Equity Market
... Daily stock price volatility is found to be significanlty and frequently different whether measured via successive open or close ...to the analysis of the volatility ... See full document
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Long-term value creation of private equity firms with evidence from the Nordic countries
... Observing the stock returns following a going-public process of the PE held company is another way of studying the effects of LBOs have on target ...During the ... See full document
35
Long memory and volatility clustering: is the empirical evidence consistent across stock markets?
... Within the traditional approach we have considered the GARCH (1, 1), IGARCH (1, 1) and FIGARCH (1, d, 1) specifications, whose main results are listed in Table ...1. The conclusions are similar to ... See full document
11
On the integrated behaviour of non-stationary volatility in stock markets
... signs of long-memory effects, which seems to indicate that there is evidence of dynamics, not only in the dimension of prices, but also on the ...volatility. ... See full document
13
Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
... fitting the standard ...persistence the IGARCH(1,1) and FIGARCH(1,d,1) specifications are also ...terms of the BFGS optimization algorithm using the econometric package of ... See full document
7
Does sentiment matter for stock market returns? evidence from a small European market
... monitoring the current economic situation. Typically, they are based on a sample of households and respondents are asked about their intentions regarding major purchases, their economic situation now ... See full document
33
Trouble Ahead – The Subprime Crisis as Evidence of a New Regime in the Stock Market
... observing the evolution of the S&P500 market space along its leading effective dimensions, important differences appeared in the market shape ...(Fig.1). The most ... See full document
8
The evidence for hippocampal long-term potentiation as a basis of memory for simple tasks
... between the mechanisms of CA1 LTP and those observed in CA1 dur- ing the consolidation of one-trial inhibitory avoidance, see Reymann (1993) and Izquierdo and Medina (1995, ...for the ... See full document
13
Transparency and stock price volatility: european evidence
... analyse the transparency of 63 firms of Baltic States of Estonia, Latvia and Lithuania, and compared them with 58 firms from Nordic countries (Denmark, Finland and Sweden), using ... See full document
20
The determinants of the fiscal policy stance : evidence from the EU countries
... complement the study on the connection between the decentralization of the government and the fiscal policy stance, we followed Baskaran (2010) and Afonso & Hauptmeier (2009) ... See full document
49
The short-run and long-run determinants of household saving : evidence from OECD countries
... magnitude of interest rate eect on saving in the short and long run depend on the osetting in uences of the substitution and income ...eects. The strength of ... See full document
39
Sovereign rating changes : how they affected the stock markets of the PIIGS countries during the European sovereign debt crisis
... halt the downward trend would then announce new corrective and economic measures to solve the problems and the markets would regain confidence and react positively, in this case on average after ... See full document
29
THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH
... During the last years, the financial markets have been subject to significant fluctuations of their financial ...revived the interest, in the academic circles and policy makers and ... See full document
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