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dc.contributor.authorPatev Plamenen
dc.contributor.authorKanaryan Nigokhosen
dc.contributor.authorLyroudi Katerinaen
dc.date.accessioned2015-04-28T09:05:13Z
dc.date.available2015-04-28T09:05:13Z
dc.date.issued2010-06-07en
dc.identifier.issn1508-2008
dc.identifier.urihttp://hdl.handle.net/11089/8219
dc.description.abstractThe 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.abstractPrzeprowadzone 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 wartościowychen
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen
dc.relation.ispartofseriesComparative Economic Research;12en
dc.rightsThis content is open access.en
dc.titleModelling and Forecasting the Volatility of Thin Emerging Stock Markets: the Case of Bulgariaen
dc.page.number47-60en
dc.identifier.eissn2082-6737
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dc.identifier.doi10.2478/v10103-009-0021-8en


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