This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange...

This paper provides an analysis of asset allocation using univariate portfolio GARCH models from the Athens Stock Exchange. We use daily data for the period January 1997 to February 2005. Our analysis adopts the methodology due to Manganelli (2004) and we are able to recover from the univariate...

This paper examines the Purchasing Power Parity theory from a long-run perspective in the presence of a parallel or 'black' market for US dollars in Greece using monthly data for the recent float. Johansen's FIML multivariate cointegration techniques is applied. Recent development associated...

Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC...

We examine the existence of herding and anti-herding (positive herding) behavior in major European benchmarking stock market indices. Following the recent events that unfolded in the Eurozone sovereign debt crisis our analysis is further expanded on two subsamples namely north and south European...

Typical issues of multivariate GARCH models are dimensionality, which is time consuming, both in terms of computations and their programming, and the availability of very few distributional schemes, since linear correlations are a natural dependence measure, only if the joint distribution of the...

This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the...