Jump to ContentJump to Main Navigation
Show Summary Details
More options …

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

See all formats and pricing
More options …
Volume 16, Issue 1


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.

This article offers supplementary material which is provided at the end of the article.

About the article

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.

Export Citation

©2012 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

Nikola Radivojević, Nikola V. Ćurčić, and Djurdjica Dj. Vukajlović
Journal of Business Economics and Management, 2017, Volume 18, Number 5, Page 1023
Vilma Deltuvaite
Procedia Economics and Finance, 2016, Volume 39, Page 292
Vilma Deltuvaitė
Economics and Business, 2016, Volume 28, Number 1
Vilma Deltuvaitė
Procedia - Social and Behavioral Sciences, 2015, Volume 213, Page 430

Comments (0)

Please log in or register to comment.
Log in