Diamandis, Panayiotis; Drakos, Anastassios; Volis, Argyrios - In: Applied Financial Economics 17 (2007) 5, pp. 413-424
In this paper we model the volatility of the Athens Stock Exchange general index. With the use of alternative conditional heteroskedasticity models (Glonsten et al., 1993; Bollerslev, 1986; Zakoian, 1991) we investigate whether stock returns include incremental information when we model index...