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This paper explores some institutional aspects of the Athens Stock Exchange ASE and investigates the timeseries properties of three major ASE stock indices. The results depict that future returns on these indices are difficult to predict. However, volatility in these indices can be predictable...
The BlackScholes BS model in its various formulations has been the mainstay paradigm on option pricing since its basic formulation in 1973. The model has generally been proven empirically robust, despite the well documented empirical evidence of mispricing deepinthemoney, deep outofthemoney and,...
In this paper chaos is viewed as an alternative approach to modeling complex and random appearing behavior. The spatial static characteristics of weekly returns and price levels for eleven International Indices are quantified. We find evidence that all countries exhibit similar static...
The essence of the modern assetmarket approach to the analysis of exchange rate behavior includes the role of the trade balance account. We examine the relationship between exchange rate changes and US trade balance announcements. Statistically significant exchange rate adjustments to these...
This study presents various GARCH models for predicting movements returns and volatility patterns in major national stock market indices. These models depict that future returns in the national stock markets of Australia, Belgium, Canada, France, Italy and Switzerland are predictable from past...
This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the response of volatility to exchange rate changes is asymmetric. For dollar exchange rates with respect to EMS currencies,...
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