This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different … persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified …

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock … volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence …

options,and suggest new applications of tests for excess volatility and bubbles in asset prices. …

options,and suggest new applications of tests for excess volatility and bubbles in asset prices. …

, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …

volatility equation are consistent and normally distributed in large samples independently of the degree of persistence. This … covariate is allowed to exhibit any degree of persistence as captured by its long-memory parameter dx; in particular, we allow … implies that standard inferential tools, such as t-statistics, do not have to be adjusted to the level of persistence. On the …