In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or...

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...

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