Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges
2012 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, Vol. 16, no 1, 22 p.Article in journal (Refereed) Published
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition,we find evidence of asymmetric effects of shocks arising in Moscow and in the Baltic state on both returns and volatilities.
Place, publisher, year, edition, pages
Walter de Gruyter, 2012. Vol. 16, no 1, 22 p.
Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-22196DOI: 10.1515/1558-3708.1855OAI: oai:DiVA.org:umu-22196DiVA: diva2:213642
Distributor:Institutionen för nationalekonomi, 90187, Umeå