The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.

Purpose – The purpose of this paper is to focus on the performance of three alternative value-at-risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...

In this article an asymmetric autoregressive conditional heteroskedasticity (ARCH) model is applied to some well-known financial indices (DAX30, FTSE20, FTSE100 and SP500), using a rolling sample of constant size, in order to investigate whether the values of the estimated parameters of the...

This paper considers different detrending methods and analyses the effects that they each have on the cyclical behaviour of economic time series. The detrending filters are then applied on U.S. and U.K. macroeconomic series and different criteria are used to indicate the performance of the...

This paper examines the extent of income inequality in Greece during the last three decades by estimating a broad set of aggregate and disaggregate inequality measures using the same data source and a common method of calculation. The empirical findings have shown that the middle and upper...