TY - JOUR
TI - Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange
AU - Athanassiou, E.
AU - Kollias, C.
AU - Syriopoulos, T.
JO - Journal of International Financial Markets, Institutions and Money
PY - 2006
VL - 16
TODO - 5
SP - 411-424
PB - 
SN - 1042-4431
TODO - 10.1016/j.intfin.2005.04.001
TODO - null
TODO - This paper analyses the impact of exogenous national security related shocks on the time-varying volatility structure of the Greek stock market. Alternative autoregressive conditional heteroscedastic models are estimated, in order to identify the best fit that adequately describes return volatility behavior, testing symmetric as well as asymmetric innovation responses. An external national security related shock factor is included as well as a military crisis dummy, in order to depict possible implications for the conditional variance. The empirical findings appear to support a statistically significant impact of both national security related factors on the Athens stock market returns. © 2005 Elsevier B.V. All rights reserved.
ER -