untersuchungen zur dynamischen struktur des wiener aktienmarkts

Rünstler, Gerhard (January 1992) untersuchungen zur dynamischen struktur des wiener aktienmarkts. Forschungsberichte / Research Memoranda 292

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Abstract or Table of Contents

summary: the present paper investigates whether the conditional expectations of returns and volatilities of selected stocks traded on the vienna stock exchange can be explained by a common market factor. univariate garch(1,1)-estimates of conditional volatilities are compared with several modifications of the factor-arch-model (engle, ng & rothschild, 1990). it is shown that an extended one-factor-model allowing for a short-term memory of stock-specific shocks fits the data as well as univariate estimates . secondly, conditional expectations are estimated on the basis of a var(1)-process. in order to account for the heteroscedasticity of the returns wls-estimators are used. subsequently, the most predictible portfolio is constructed by a canonical analysis (box & tiao, 1977) of the var(1). the results depend strongly on the weights given to high volatile periods.;

Item Type: IHS Series
Status: Published
Date Deposited: 26 Sep 2014 10:35
Last Modified: 01 Apr 2016 14:08
URI: http://irihs.ihs.ac.at/id/eprint/622

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