dc.contributor.author | Patev Plamen | en |
dc.contributor.author | Kanaryan Nigokhos | en |
dc.contributor.author | Lyroudi Katerina | en |
dc.date.accessioned | 2015-04-28T09:05:13Z | |
dc.date.available | 2015-04-28T09:05:13Z | |
dc.date.issued | 2010-06-07 | en |
dc.identifier.issn | 1508-2008 | |
dc.identifier.uri | http://hdl.handle.net/11089/8219 | |
dc.description.abstract | The result of this research shows that the SOFIX index has basic characteristics that are observed in most of the emerging stock markets, namely: high risk, significant autocorrelation, non-normality and volatility clustering. Three models have been applied to assess and estimate the Bulgarian stock market risk: RiskMetrics, EWMA with t-distributed innovations and EWMA with GED distributed innovations. The results revealed that the EWMA with t-distributed innovations and the EWMA with GED distributed innovations evaluate the risk of the Bulgarian stock market adequately. | en |
dc.description.abstract | Przeprowadzone analizy wskazują, że indeks giełdowy SOFIX charakteryzuje się typowymi cechami: wysokim ryzykiem autokorelacji i nienormalnym rozczłonkowaniem. W celu oszacowania i oceny ryzyka giełdy w Bułgarii wykorzystano trzy modele: RiskMetrics, EWMA oraz zmodyfikowany model EWMA. Z analiz wynika, że dwa ostatnie modele dosyć dokładnie szacują ryzyko na bułgarskiej giełdzie papierów wartościowych | en |
dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | en |
dc.relation.ispartofseries | Comparative Economic Research;12 | en |
dc.rights | This content is open access. | en |
dc.title | Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgaria | en |
dc.page.number | 47-60 | en |
dc.identifier.eissn | 2082-6737 | |
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dc.identifier.doi | 10.2478/v10103-009-0021-8 | en |