Naslov
Modelling some properties of stock markets in transition economics

Autori
Jagrić, Timotej ; Podobnik, Boris ; Kolanović, Marko ; Jagrić, Vita

Izvornik
Ekonomický časopis (0013-3035) 54 (2006), 8; 816-829

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
efficient-market hypothesis ; fractionally integrated processes

Sažetak
In contrast to predominant behavior of financial series of developed markets (no or very short serisl correlations), financial series of emerging markets exhibit different behavior. We investigate financial series of index returns and find long-range serial correlations. All series are asymmetric. We model these properties with a process exhibiting the empirical properties.

Izvorni jezik
Engleski

Znanstvena područja
Fizika, Ekonomija

POVEZANOST RADA