| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0411073 |
| utime |
20240111140636.1 |
| mtime |
20060210235959.9 |
| title
(primary) (eng) |
Application of the GARCH - t model on stock returns in emerging capital markets |
| publisher |
| place |
Kiel |
| name |
Fritz Thyssen Stiftung |
| pub_time |
2003 |
|
| specification |
|
| serial |
| title
|
WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents |
| page_num |
1-14 |
|
| keyword |
efficient markets hypothesis |
| keyword |
asset price behaviour |
| author
(primary) |
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101240 |
| name1 |
Žikeš |
| name2 |
Filip |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| COSATI |
05D |
| cas_special |
| project |
| project_id |
GA402/01/0034 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0008950 |
|
| project |
| project_id |
287/2003/A-EK/FSV |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0200687 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
We will interested in the Student's t-distribution since it is fairly simple to implement in empirical applications. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied the GARCH-t model which also allows to us to learn more about the distribution properties of stock returns. |
| action |
| ARLID |
cav_un_auth*0213023 |
| name |
WEHIA 2003 /8./ |
| place |
Kiel |
| country |
DE |
| dates |
29.05.2003-31.05.2003 |
|
| RIV |
AH |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131160 |
| ID_orig |
UTIA-B 20030060 |
| arlyear |
2003 |
| mrcbU10 |
2003 |
| mrcbU10 |
Kiel Fritz Thyssen Stiftung |
| mrcbU56 |
184 kB |
| mrcbU63 |
WEHIA 2003. 8th Annual Workshop on Economics with Heterogeneous Interacting Agents 1 14 |
|