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Modelling and Forecasting the Volatility of Thin Emerging Stock Markets: The Case of Bulgaria
Company: Tsenov Academy of Economics
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: April
Pages: 11
Download Count: 901
View Count: 8526
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-2-2004
Publisher: Administrator
Summary
Modern Portfolio Theory associates the stock market risk with volatility of the return.Volatility is measured by the variance of return but the investment community does not accepted this measure, since it weighs equally the deviations of the average return, while most investors determine the risk on the basis of small or negative returns. In the last few years the measure Value at Risk (VaR) has established itself in the practice. The issue about modelling and forecasting thin emerging stock markets risk is still open. The subject of the paper is the risk of the Bulgarian stock market. The aim of the paper is to give the investment community a model for assessment and forecasting of the Bulgarian stock market risk.
Author(s)
Patev, Plamen Sign in to follow this author
Kanaryan, Kigokhos Sign in to follow this author
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