Search results

1

The Application of M-Garch Model for Examining the Volatility of Financial Assets

100%

Krężołek D., Department of Statistics K. A. U. o. E. i. K.

Acta Universitatis Lodziensis. Folia Oeconomica

|

2009

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vol. 228

PL

Większość ekonometrycznych modeli rynków finansowych konstruowanych jest w oparciu o wielkie i rozwinięte gospodarki światowe. Podejście takie nie zawsze znajduje zastosowanie w przypadku młodych i wschodzących rynków. Wynika to po pierwsze z dostępności, a po drugie z charakteru danych tworzących finansowe szeregi czasowe (skupiska danych, grube ogony, autokorelacja). Celem pracy jest zastosowanie modelu M-GARCH do analizy poziomu zmienności stóp zwrotu aktywów finansowych w przypadku, gdy badaniu poddane są portfele inwestycyjne (o więcej niż dwóch składnikach). Przedstawione zostaną różne podejścia do analizy warunkowej wariancji (modyfikacje M-GARCH). Wynikiem będzie ocena stosowalności tej klasy modeli.

EN

The majority of econometric financial market models are based on well run and highly developed economies and available financial time series are very wide, numerous, reporting some specific features as clustering of variance and outliers. Thus, the application of classical methods of the stochastic processes analysis can be biased. The purpose of this paper is to present the review of M-GARCH model to examine the volatility of asset returns in financial market. The analysis includes both individual stocks and portfolios. The most popular approaches of multivariate GARCH models estimation are considered. As a result, the applicability assessment of this class of models within emerging markets will be presented.

2

Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets

80%

Chocholatá M.

Metody Ilościowe w Badaniach Ekonomicznych

|

2011

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vol. 12

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issue 1

27-36

EN

This paper analyses the relationship between the daily volatility of stock returns and the trading volume using the TGARCH models for selected European and Asian stock markets. The leverage effect has been proved in all analysed cases. The logarithm of the trading volume was included into the conditional volatility equation as a proxy for information arrival time. Although in case of all analysed Asian stock returns the inclusion of the trading volume led to the moderate decline of the conditional volatility persistence, the results in case of European stock returns were not so unambiguous.

3

Instrumenty pochodne na zmienność – nowa klasa aktywów finansowych?

80%

Jabłecki J., Kokoszczyński R., Sakowski P., Ślepaczuk R., Wójcik P.

Ekonomista

|

2015

|

issue 6

830-856

PL

Celem artykułu jest przedstawienie dwóch głównych instrumentów pochodnych na zmienność (kontrakty futures i swapy wariancji) jako nowej klasy aktywów i ich analiza z punktu widzenia optymalizacji portfela inwestora. Wykorzystując dane z rynku USA autorzy dowodzą, że zarówno dodanie krótkiej, jak i długiej ekspozycji na zmienność do portfela może istotnie poprawić jego efektywność (zwiększyć stopę zwrotu w relacji do ryzyka). Jednak największe korzyści – w sensie zwiększenia stopy zwrotu i redukcji ryzyka portfela – przynosi inwestorom jednoczesne dodanie kombinacji krótkiej pozycji w zmienności zrealizowanej i długiej pozycji w zmienności implikowanej, które naturalnie się uzupełniają.

EN

The goal of this article is to introduce the two key volatility derivatives (volatility futures and variance swaps) in the context of portfolio optimization. Using data from the US stock market, the authors show that adding either long or short exposure to volatility can substantially improve portfolio effi ciency (i.e. improve its return-risk ratio). The most benefi cial strategy – in the sense of maximizing return and minimizing value-at-risk – combines exposure to both implied volatility and realized volatility, which naturally complement one another.

RU

Целью статьи является презентация двух главных производных инструментов в условиях волатильности (контракты фьючерс и вариационные свопы) в качестве нового класса активов и их анализ с точки зрения оптимизации портфеля инвестора. Используя данные рынка США, авторы доказывают, что добавление в портфель как короткой, так и длинной составляющей, учитывающей волатильность, может существенным образом улучшить его эффективность (увеличить норму окупаемости по отношению к риску). Однако наибольшие выгоды, т.е. увеличение нормы окупаемости и редукцию риска портфеля, инвесторы получают при комбинации короткой позиции в реализованной волатильности и длинной позиции в подразумеваемой волатильности, которые естественным образом дополняют друг друга

4

The Influence of Corruption Scandals on Government Accountability

80%

Żerkowska-Balas M., Sroka A.

Political Preferences

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2019

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issue 24

45-56

EN

The objective of the article is to examine whether corruption scandals involving members of the ruling party lead to changes in support for the government. It will also explore the extent to which the eruption of such scandals and reporting on them leads to an increase in the number of those opposed to the government, and whether in the long run this leads to the activation of the carrot-and-stick mechanism in respect of the governing political party, reflected in increased voting instability during subsequent elections.

5

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

80%

Karkowska R.

Faculty of Management Working Paper Series

|

2013

|

issue WPS 3/2013

1-13

EN

Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.

6

VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA

80%

Heryán T., Ziegelbauer J.

Equilibrium. Quarterly Journal of Economics and Economic Policy

|

2016

|

vol. 11

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issue 1

61-74

EN

The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields’ volatilities of bonds in selected European countries during the period of the sovereign debt crisis in the euro area. We obtained data for 10-year bonds in a weekly frequency from January 2006 till the end of December 2014. To make a comparison of pre-crisis period, we firstly investigate a bond yields’ volatility before 15th September 2008, when U.S. Leman Brothers bankrupted and the global financial crisis had been reflected in full. However, the period of the global financial crisis could also negatively affect the development of government bonds. Therefore, the period after Leman Brothers’ bankruptcy has been excluded and our crisis period starts after 23rd April 2010, when Greece asked the IMF for financial help and the sovereign debt crisis had been reflected in full. Volatility models GARCH (1,1), IGARCH (1,1) and TARCH (1,1) were used as an estimation method. To examine the risk premium of all GIIPS economies (Greece, Ireland, Italy, Portugal and Spain), we also compared the whole investigation with the developments of each spread against the yields of German government bonds. Our results clearly proved not only big differences between pre-crisis and crisis period, but also differences in output with the bond yield spreads. It was concluded that there has been a higher impact of the Greek bond yields, as well as yield spreads volatility in 2010 and 2011, while it is on the lower level in pre-crisis period.

7

Do mixed-data sampling models help forecast liquidity and volatility?

80%

Będowska-Sójka B., Kliber A.

Przegląd Statystyczny

|

2022

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vol. 69

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issue 2

1-19

EN

This paper aims to contribute to the existing studies on the Granger-causal relationship between volatility and liquidity in the stock market. We examine whether liquidity improves volatility forecasts and whether volatility allows the improvement of liquidity forecasts. The forecasts based on the mixed-data sampling models, MIDAS, are compared to those obtained from models based on daily data. Our results show that volatility and liquidity forecasts from MIDAS models outperform naive forecasts. On the other hand, the application of mixed-data sampling models does not significantly improve the performance of the forecasts of either liquidity or volatility based on a univariate autoregressive model or a vectorautoregressive one. We found that in terms of the forecasting ability, the VAR models and the AR models seem to perform equally well, as the differences in forecasting errors generated by these two types of models are not statistically significant.

8

The impact of estimation methods and data frequency on the results of long memory assessment

70%

Gurgul H., Brania K.

Managerial Economics

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2015

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vol. 16

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issue 1

7-37

EN

The main goal of this paper is to examine the effects of selected methods of estimation (the Geweke and Porter-Hudak, modified Geweke and Porter-Hudak, Whittle, R/S Rescaled Range Statistic, aggregated variance, aggregated absolute value, and Peng’s variance of residuals methods) and data frequency on properties of Hurst exponents for stock returns, volatility, and trading volumes of 43 companies and eight stock market indices. The calculations have been performed for a time series of log-returns, squared log-returns, and log-volume (based on hourly and daily data) by nine methods. Descriptive statistics and distribution laws of Hurst exponents depend on the method of estimation and, to some extent, on data frequency (daily and hourly). While by and large in log-returns no long memory has been detected, some estimation methods confirm the existence of long memory in squared log-returns. All of the applied estimation methods show long memory in log-volume data.

9

An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

70%

Okičić J.

South East European Journal of Economics and Business

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2015

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vol. 9

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issue 1

7-15

EN

The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE), focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.

10

The structure of contemporaneous price-volume relationships in financial markets.

70%

Gurgul H., Syrek R.

Managerial Economics

|

2013

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vol. 14

39-60

EN

The main goal of this paper is an examination of the interdependence stuctures of stock returns, volatility and trading volumes of companies listed on the CAC40 and FTSE100. The authors establish that the mean values of respective measures are different on the markets under study. In general, they are larger for equities from CAC40 than from FTSE100. The Mixture of Distributions Hypothesis with long memory is rejected for about 70 % of stocks from both markets. Additionally fractional cointegration was tested. The lack of fractional cointegration, suggests a rejection of the last variant of MDH in all cases, i.e. the time series under study do not exhibit common long-run dependence. The analyzed time series are not driven by a common information arrival process with long memory. Correlation between volatility and trading volume is present for all the stocks of companies from these markets. The mixtures of rotated copulas and Kendall correlation coefficient allowed the checking of extreme return-volume dependence structures. The empirical results reflect significant dependencies between high volatility and high trading volume. In general, the dependence structures of stock returns and trading volume are different. In the case of CAC40 companies high trading volume is not correlated as frequently with high stock returns as with low stock returns. For companies listed on the FTSE100 high stock returns are mostly related with high trading volume.

11

SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY

70%

Stawiarski B.

Finansowy Kwartalnik Internetowy e-Finanse

|

2015

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vol. 11

|

issue 1

32-43

EN

We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.

12

Growth effect of aid and its volatility: An individual country study in South Asian economies

70%

Bhavan T., Xu C., Zhong C.

Business and Economic Horizons

|

2010

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vol. 3

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issue 3

1-9

EN

This paper empirically investigates the growth effect associated with aid and its volatility during the period 1995-2008 in the case of five South Asian economies. The aid is classified into short impact, long impact and humanitarian aid. We obtained results for each of the country by employing two-stage least squares method. The results suggest that gross aid is positively associated with growth rate where as its volatility negatively effects growth rate South Asian countries. Short impact and long impact aid positively effect on growth rate whereas respective aid volatilities have negative affects on all the economies, excluding at least one country in each case. Humanitarian aid and its volatility have mixed results. Thus, we come to a conclusion that, aid and aid volatility have strong association with growth rate in the South Asian countries, but varies considerably from country to country in terms of magnitude of effect and in relation to the growth rates

13

Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?

70%

Loang O. K., Ahmad Z.

Economics and Business Review

|

2021

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vol. 7

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issue 4

54-71

EN

This study examines the mediating role of volatility on the relationship between analyst recommendations and herding in the Malaysian stock market by using data from 2010 to 2020. Volatility is measured by realized volatility and the Parkinson estimator. The empirical evidence suggests that herding exists and realized volatility intervenes in the direct relationship between analyst recommendations and herding. The release of analyst recommendations causes realized volatility to fluctuate and investors are triggered by the volatility, which in turn follow the crowd to herd. Nonetheless, the Parkinson estimator is found to be insignificant, which infers that investors have anchor bias and rely on previous day stock prices to trade and herd. This paper provides an alternative explanation to the direct relationship and enhances the study of informationbased herding. It contributes to academicians, practitioners, investors and policymakers to understand the herding of investors in responding to the arrival of new information.

14

Modelling the volatility of African capital markets in the presence of the Covid-19 pandemic: evidence from five emerging economies in Africa

70%

Adeboye N. O., Abimbola O. V., Folorunso S. O., Akinbo R. Y.

Statistics in Transition new series

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2023

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vol. 24

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issue 2

17-37

EN

The growing concern over the global effects of the COVID-19 pandemic on every aspect of human endeavour has necessitated a continuous modelling of its impact on socio-economic phenomena, allowing the formulation of policies aimed at sustaining future economic growth and mitigating the looming recession. The study employed Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH) procedures to develop stock volatility models for the pre- and COVID-19 era. The Fixed-Effects Two Stage Least Square (TSLS) technique was utilised to establish an empirical relationship between capital market volatility and the COVID-19 occurrence based on equity market indices and COVID-19 reported cases of five emerging African economies: Nigeria, Egypt, South Africa, Gabon and Tanzania. The stock series was made stationary at the first order differencing and the model results indicated that the stock volatility of all the countries responded sharply to the outbreak of COVID-19 with the average stock returns of Nigeria and Gabon suffering the most shocks. The forecast values indicated a constant trend of volatility shocks for all the countries in the continuous presence of the COVID-19 pandemic. Additionally, the confirmed and death cases of COVID-19 were found to increase stock prices while recovered cases bring about a reduction in the stock prices in the studied periods.

15

Evaluation of Performance and Efficiency of Polish Open-End Mutual Funds under High Volatility Environment in Financial Markets

70%

Lisak F.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

|

2022

|

vol. 56

|

issue 4

63-82

EN

Theoretical background: Retail investors in the financial market have nowadays access to a wide range of investment products. One of the types of such products are open-end investment funds, which by design are asset masses managed by professional entities. Open-end investment funds became one of the more popular financial instruments that retail customers purchase. Purpose of the article: This article aims at determining the efficiency of mutual funds as measured by the rate of return. An important point of the study is to determine whether funds with lower total risk as measured by standard deviation achieved lower losses. Research methods: The research method is an analysis of performance of twenty Polish open-ended mutual funds in three different time horizons, by using classic mutual fund performance measures adjusted for negative returns, i.e. Sharpe, Treynor and Jensen alpha indicators as well as the Israelsen and Treynor ratios adjusted for negative return. Main findings: It has been observed that the high volatility in the financial market had a direct negative impact on the returns of these funds. When comparing the Treynor ratio adjusted for negative returns values it appears that some of the analysed equity funds performed better than, for example, stable growth funds. In case of high volatility in the stock market, both in the long and short term, the analysed stable growth funds did not bring more value to investors in relation to the total risk incurred than balanced or even equity funds, which is particularly noticeable in the case of three-year and annual results. This is because asset diversification did not fully work in the high market volatility seen since the beginning of 2022 mostly due to falling prices of debt securities caused by interest rate increases. The article also contributes to the interpretation of Sharpe and Israelsen ratios in case of similar negative rates of return and different volatility measured, because the Israelsen ratio may not be the best to compare such funds as it prioritizes the funds with lower risk and does not consider relation of risk to return.

16

Estimation of the price elasticity of petroleum products' consumption in Ukraine

70%

Galchynskyi L.

Equilibrium. Quarterly Journal of Economics and Economic Policy

|

2020

|

vol. 15

|

issue 2

315-339

EN

Research background: The analysts of the petroleum product markets of industrial countries believe that the elasticity of demand varies at different periods, which gave rise to the hypothesis that behavioral and structural factors have changed the consumers? reaction during the last few decades, with a change in prices of petroleum products. Purpose of the article: The purpose of this article is to study the elasticity of demand and prices in order to identify changes in consumer behavior in the oil market after significant socio-economic shocks and to establish a correlation between changes in elasticity and price volatility, with the Ukrainian petroleum products market as an illustrative example. Methods: Based on the time series of the petroleum product market of Ukraine, static and dynamic models for assessing the demand elasticity were constructed. It was found that the time series of demand for petroleum products is non-stationary but then the time series of the first differences is stationary according to the extended Dickey-Fuller test; further, the fact of co-integration between time series of consumption, income, and prices was established by the Johansson test. This made it possible to construct co-integration dependence, allowing, in turn, the development of models for assessing the elasticity of demand for petroleum products, on the basis of which objective assessments of changes in consumer behavior were established. Analysis of the monthly calculation of petroleum products? price volatility during the period 2008 to 2018 has showed that the values of volatility increased abnormally in the period between the beginning of 2014 and the middle of 2015. The estimates of price and demand elasticities obtained for the two periods up to the beginning of 2014 and the second half of 2015 differ significantly from the values of the corresponding elasticities between the beginning of 2014 and the middle of 2015. Findings & Value added: Assessments of income elasticities and price elasticities for petroleum products in the Ukrainian market were obtained by three co-integration models, both short and long term, for each of the three previously defined time intervals. In one of them, characterized by a high level of price volatility conditionally referred to as a crisis, the value of elasticities differed markedly from the corresponding values in the other two periods, in particular, -0.383 for price elasticity and 1.068 for a long-term bond. In the other two periods, these were, respectively, 0.543 for price elasticity and 0.274 for long-term pre-crisis elasticity, and -0.470 for price elasticity and 0.235 for long-term post-crisis elasticity. Appropriate elasticity estimates were obtained for both the short-run and the dynamic model, for the same defined intervals. A comparison of these estimates showed the closeness of the values of elasticities for the pre-crisis and post-crisis intervals and a marked difference from the estimates of the elasticities in the crisis interval. Thus, it was found that a significant change in elasticities is accompanied by an increase in price volatility.

17

Akademickie niestatki, czyli o niechlubnym żywocie polskich studentów w podróżach edukacyjnych po Europie Zachodniej od XVI do XVII wieku

70%

Pietrzak J.

Biuletyn Historii Wychowania

|

2014

|

issue 32

7-28

EN

Initially, the article describes the perfect educational tour for a young nobleman in the 16th and 17th centuries. However, the ideal, as exemplified by the instructions and advice of parents, was in stark contrast with the actual behaviour of the students. Their excesses, triggered by leaving their family nests, their youth and pride in their heritage, took many forms. Among them were laziness, lack of respect for teachers, scuffles with other Poles or foreign students, drinking, gambling and fornicating. Such behaviour disgraced the young noblemen and led to them being expelled from universities, being incarcerated, or having to pay fines. Sometimes, the young men caught venereal diseases as a result of their sexual promiscuity, or sired illegitimate offspring. A number of them died due to excessive drinking and eating, or during street duels. The lives of Polish students have been described in numerous accounts from the universities of Padua, Bologna, Rome, Leiden and Altdorf.

18

Exchange rate volatility and trade. The case of Ukraine

61%

Popova O., Jablinski J., Lukashenko T.

Research Papers in Economics and Finance

|

2016

|

vol. 1

|

issue 1

17-24

EN

This article demonstrates the assumptions of economic theory and its followers, the theories which stimulate research on the positive correlation between the success of the economy, its growth and the level of international trade. The empirical analysis of this paper examines the example of the exchange rate volatility and its influence on international trade on the basis of Ukraine. In the descriptive part of this study, which looks at the exchange rate volatility in Ukraine as a whole, the authors have aggregated the bilateral volatilities using trade shares as weights to obtain what is referred to as the “effective volatility” of the country’s exchange rates. It is summarized that the current situation in Ukraine is extremely difficult, and external financial support could alleviate the crisis. The time span used in the work includes the years from 1999 to 2014, with the help of which the authors have demonstrated the fluctuation and correlation between these two factors. From the graph it has been possible to make the conclusion that even if there was no significant visible correlation between trade and the exchange rate volatility, it does not mean that there is no relationship between these two factors, because there are a lot of factors which affect the level of trade.

19

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

61%

Škrinjarić T., Šego B.

Business Systems Research Journal

|

2016

|

vol. 7

|

issue 2

78-90

EN

Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian financial markets in order to enhance portfolio selection on a daily basis. Methods/Approach: MGARCH methodology is applied to the stock market index CROBEX, the bond market index CROBIS and the kuna/euro exchange rate in order to model the co-movements of returns and risks on a daily basis. The estimation results are then used to form successful portfolios. Results: Results indicate that using MGARCH methodology (the CCC and the DCC model) as guidance when forming and rebalancing a portfolio contributes to less portfolio volatility and greater cumulated returns compared to strategies which do not take this methodology into account. Conclusions: It is advisable to use MGARCH methodology when forming and rebalancing portfolios in terms of portfolio selection.

20

Party System Change in a New Democracy: The Case of Mexico

61%

Díaz Jiménez O. F., Kopcewicz G., Olszanecka N., Urbański D., Piechowiak-Lamparska J., Bryc A., Bojarczyk B., Jorgensen F. A. E., Niedziołka D., Pacześniak A., Potorski R., Wincławska M., Włodkowska-Bagan A., Jeran A., Mol A., Solsbery A., Dąbrowska I., Głodkowski M., Kopcewicz G., Olszanecka N., Piechowiak-Lamparska J.

The Copernicus Journal of Political Studies

|

2014

|

issue 1 (5)

PL

Since the end of the last century Mexico has experienced a profound proces of political and electoral change which was reflected in its transition from a dominant party authoritarian regime to a competitive multiparty system. This paper has two parts and a concluding section. The first part focuses on major changes in a number of relevant dimensions of the Mexican party system, including electoral competitiveness, party fractionalisation, electoral volatility, nationalisation, and the aggregate distribution of partisan loyalties among the electorate (macropartisanship) over the last three decades. The analysis is based on aggregate electoral data at the national and the district level, as well as on data from surveys of public opinion. The paper shows important changes in the structure and behaviour of the Mexican electorate, such as increasing partisan de-alignment as well as growing competitiveness, fractionalisation, and nationalisation of the party system. The second part is a brief review of the factors driving the process of political and electoral change in Mexico.

Refine search results

The Application of M-Garch Model for Examining the Volatility of Financial Assets

Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets

Instrumenty pochodne na zmienność – nowa klasa aktywów finansowych?

The Influence of Corruption Scandals on Government Accountability

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA

Do mixed-data sampling models help forecast liquidity and volatility?

The impact of estimation methods and data frequency on the results of long memory assessment

An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

The structure of contemporaneous price-volume relationships in financial markets.

SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY

Growth effect of aid and its volatility: An individual country study in South Asian economies

Does volatility mediate the impact of analyst recommendations on herding in Malaysian stock market?

Modelling the volatility of African capital markets in the presence of the Covid-19 pandemic: evidence from five emerging economies in Africa

Evaluation of Performance and Efficiency of Polish Open-End Mutual Funds under High Volatility Environment in Financial Markets

Estimation of the price elasticity of petroleum products' consumption in Ukraine