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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

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1558-3708
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Volume 16, Issue 1

Issues

Volume 23 (2019)

Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges

Kurt Brännäs / Jan G. De Gooijer / Carl Lönnbark / Albina Soultanaeva
Published Online: 2012-01-18 | DOI: https://doi.org/10.1515/1558-3708.1855

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 and exogenous variables. The model is employed to study the three closely related Baltic States’ stock exchanges and the influence exerted by the Russian stock exchange. Using daily data, we find recursive structures with returns in Riga directly depending on returns in 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 Baltic States on both returns and volatilities.

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Published Online: 2012-01-18


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 16, Issue 1, ISSN (Online) 1558-3708, DOI: https://doi.org/10.1515/1558-3708.1855.

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