The main objective of the study is to show whether price limits for commercial banks in the ASE have the positive effect on the market return volatility for the period 1999-2005. GARCH and EGARCH models are used to generate variance series from bank returns. Empirical results show that there is...

This paper adds new methodology to the existing methods used in the literature of early warning systems and signals approach developed to predict crashes. Results show that the probability of extreme outcomes is much higher before the crises than during the crises. Even though the two...