Matches in SemOpenAlex for { <https://semopenalex.org/work/W2067082906> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W2067082906 abstract "This paper introduces a model, based on the Kalman filter framework, which allows for latent factors, time varying parameters, and a general GARCH structure for the residuals, extending the Bekaert and Harvey (1997) model. With this extension it is possible to test if an emerging stock market becomes more efficient over time and more integrated with other already established markets. We apply this models to the Czech, Polish, Hungarian, and Russian stock markets. We use data at daily frequency running from April 7th 1994 to July 10th 1997. We show that those markets have a rather heterogeneous pattern with regard to seasonalities and exhibit significant asymmetric GARCH effects where bad news generate greater volatility. In Hungary good news, instead, generate greater volatility leads us to formulate a liquidity hypothesis. A latent factor captures macroeconomic expectations. Concerning predictability, measured with time varying autocorrelations, Hungary reached efficiency before 1994. Russia shows signs of ongoing convergence towards efficiency. For Poland and the Czech Republic we find no improvements. With regard to market integration there is evidence that the importance of Germany has changed over time for all markets. Shocks in the UK are positively related to the Czech and Polish market but neither with the Russian nor the Hungarian ones. Shocks in the US have no impact on these markets but Russia. A strong negative correlation between Russia and the US and Germany tends to disappear." @default.
- W2067082906 created "2016-06-24" @default.
- W2067082906 creator A5017673492 @default.
- W2067082906 creator A5060945450 @default.
- W2067082906 date "1998-01-02" @default.
- W2067082906 modified "2023-09-27" @default.
- W2067082906 title "A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies" @default.
- W2067082906 hasPublicationYear "1998" @default.
- W2067082906 type Work @default.
- W2067082906 sameAs 2067082906 @default.
- W2067082906 citedByCount "10" @default.
- W2067082906 countsByYear W20670829062012 @default.
- W2067082906 countsByYear W20670829062013 @default.
- W2067082906 countsByYear W20670829062016 @default.
- W2067082906 crossrefType "posted-content" @default.
- W2067082906 hasAuthorship W2067082906A5017673492 @default.
- W2067082906 hasAuthorship W2067082906A5060945450 @default.
- W2067082906 hasConcept C10138342 @default.
- W2067082906 hasConcept C105795698 @default.
- W2067082906 hasConcept C106159729 @default.
- W2067082906 hasConcept C121087249 @default.
- W2067082906 hasConcept C138885662 @default.
- W2067082906 hasConcept C139719470 @default.
- W2067082906 hasConcept C149782125 @default.
- W2067082906 hasConcept C162324750 @default.
- W2067082906 hasConcept C166957645 @default.
- W2067082906 hasConcept C183582576 @default.
- W2067082906 hasConcept C19244329 @default.
- W2067082906 hasConcept C197640229 @default.
- W2067082906 hasConcept C204036174 @default.
- W2067082906 hasConcept C205649164 @default.
- W2067082906 hasConcept C23922673 @default.
- W2067082906 hasConcept C2777842544 @default.
- W2067082906 hasConcept C2779343474 @default.
- W2067082906 hasConcept C2780299701 @default.
- W2067082906 hasConcept C33923547 @default.
- W2067082906 hasConcept C41895202 @default.
- W2067082906 hasConcept C556758197 @default.
- W2067082906 hasConcept C91602232 @default.
- W2067082906 hasConceptScore W2067082906C10138342 @default.
- W2067082906 hasConceptScore W2067082906C105795698 @default.
- W2067082906 hasConceptScore W2067082906C106159729 @default.
- W2067082906 hasConceptScore W2067082906C121087249 @default.
- W2067082906 hasConceptScore W2067082906C138885662 @default.
- W2067082906 hasConceptScore W2067082906C139719470 @default.
- W2067082906 hasConceptScore W2067082906C149782125 @default.
- W2067082906 hasConceptScore W2067082906C162324750 @default.
- W2067082906 hasConceptScore W2067082906C166957645 @default.
- W2067082906 hasConceptScore W2067082906C183582576 @default.
- W2067082906 hasConceptScore W2067082906C19244329 @default.
- W2067082906 hasConceptScore W2067082906C197640229 @default.
- W2067082906 hasConceptScore W2067082906C204036174 @default.
- W2067082906 hasConceptScore W2067082906C205649164 @default.
- W2067082906 hasConceptScore W2067082906C23922673 @default.
- W2067082906 hasConceptScore W2067082906C2777842544 @default.
- W2067082906 hasConceptScore W2067082906C2779343474 @default.
- W2067082906 hasConceptScore W2067082906C2780299701 @default.
- W2067082906 hasConceptScore W2067082906C33923547 @default.
- W2067082906 hasConceptScore W2067082906C41895202 @default.
- W2067082906 hasConceptScore W2067082906C556758197 @default.
- W2067082906 hasConceptScore W2067082906C91602232 @default.
- W2067082906 hasLocation W20670829061 @default.
- W2067082906 hasOpenAccess W2067082906 @default.
- W2067082906 hasPrimaryLocation W20670829061 @default.
- W2067082906 hasRelatedWork W1427722615 @default.
- W2067082906 hasRelatedWork W1548549074 @default.
- W2067082906 hasRelatedWork W1594656070 @default.
- W2067082906 hasRelatedWork W1883339865 @default.
- W2067082906 hasRelatedWork W2097846198 @default.
- W2067082906 hasRelatedWork W2139857835 @default.
- W2067082906 hasRelatedWork W2143096720 @default.
- W2067082906 hasRelatedWork W2290894975 @default.
- W2067082906 hasRelatedWork W252816827 @default.
- W2067082906 hasRelatedWork W2573780018 @default.
- W2067082906 hasRelatedWork W2941045873 @default.
- W2067082906 hasRelatedWork W3022105704 @default.
- W2067082906 hasRelatedWork W3088621617 @default.
- W2067082906 hasRelatedWork W3122280396 @default.
- W2067082906 hasRelatedWork W3122692167 @default.
- W2067082906 hasRelatedWork W3123226880 @default.
- W2067082906 hasRelatedWork W3123289511 @default.
- W2067082906 hasRelatedWork W3123514190 @default.
- W2067082906 hasRelatedWork W3123855455 @default.
- W2067082906 hasRelatedWork W2339267348 @default.
- W2067082906 isParatext "false" @default.
- W2067082906 isRetracted "false" @default.
- W2067082906 magId "2067082906" @default.
- W2067082906 workType "article" @default.