Narrow search
Showing 1 - 8 of 8
Cover Image
Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in economics and finance 30 (2013) 3, pp. 209-225
Persistent link: https://www.econbiz.de/10009772963
Cover Image
Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of accounting & finance 12 (2013) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10010126725
Cover Image
Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) February, pp. 23-43
Purpose – The main purpose of this paper is to examine the asymmetry and long memory properties in the volatility of the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The paper utilizes the wavelets approach (based on Haar,...
Persistent link: https://www.econbiz.de/10010814981
Cover Image
Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in Economics and Finance 30 (2013) June, pp. 209-225
Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...
Persistent link: https://www.econbiz.de/10010691559
Cover Image
Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in Economics and Finance 30 (2013) June, pp. 209-225
Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...
Persistent link: https://www.econbiz.de/10010711291
Cover Image
Return and volatility spillover among the PIIGS economies and India
Kumar, Dilip; Maheswaran, Srinivasan - In: American Journal of Finance and Accounting 4 (2015) 1, pp. 28-49
This paper examines the linkages among the stock markets of Portugal, Ireland, Italy, Greece, Spain and India using the vector autoregressive multivariate exponential generalised autoregressive conditional heteroskedasticity (VAR-MVEGARCH) model. We also examine the return and volatility...
Persistent link: https://www.econbiz.de/10011207762
Cover Image
Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) 1, pp. 23-43
Purpose – The main purpose of this paper is to examine the asymmetry and long memory properties in the volatility of the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain). Design/methodology/approach – The paper utilizes the wavelets approach (based on Haar,...
Persistent link: https://www.econbiz.de/10014989652
Cover Image
Are PIIGS stock markets efficient?
Kumar, Dilip - In: Studies in Economics and Finance 30 (2013) 3, pp. 209-225
Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...
Persistent link: https://www.econbiz.de/10015014112