References
- Ajayi, R. A., Mehdian, S. & Perry, M. J. 2004. The Day-of-the-Week Effect in Stock Returns: Further Evidence from Eastern European Emerging Markets. Emerging Markets Finance and Trade 40(4): 53-62.
- Alberg, D., Shalit, H. & Yosef, R. 2008. Estimating Stock Market Volatility Using Asymmetric GARCH Models. Applied Financial Economics 18(15): 1201–1208
- Bhaskar, S. 2012. Determining Historical Volatility in Emerging Markets Using Advanced GARCH Models. Social Science Research Network, advance online publication September 3. http://dx.doi.org/10.2139/ssrn.2140647
- Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington, D.C.
- Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31(3): 307-327
- Bollerslev, T., Engle, R. F. & Nelson, D. 1994. ARCH models. In: R. F. Engle & D.L. McFadden (Ed.) 1994. Handbook of Econometrics. Elsevier Science, Vol. IV
- Brigham, E.F. 1992. Fundamentals of Financial Management, 6th Ed., Fort Worth: The Dryden Press
- Brooks, C. 2008. Introductory Econometrics for Finance. Cambridge: Cambridge University Press.
- Égert, B. & Koubaa, Y. 2004. Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-Linear GARCH Approach. William Davidson Institute Working Paper No. 663. Social Science Research Network, advance online publication September 3. http://dx.doi.org/10.2139/ssrn.512862
- Engle, R. 2001. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives 15(4): 157–168.
- Engle, R. F. & Ng, V. K. 1993. Measuring and Testing the Impact of News on Volatility. The Journal of Finance 48(5): 1749-1778.
- Engle, R. F. 1982. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica 50(4): 987-1007.
- FTSE International Limited. 2014. FTSE Quality of Markets Criteria (EUROPE Frontier) as at March 2014. London: FTSE International Limited
- Geert, B. & Campbell, H. R. 1997. Emerging Equity Market Volatility, Journal of Financial Economics 43(1): 29-77.
- Gokcan, S. 2000. Forecasting Volatility of Emerging Stock Markets: Linear Versus Non-linear GARCH Models. Journal of Forecasting 19: 499–504.
- IHS Global Inc. 2013. EViews 8 User’s Guide II. Irvine: IHS Global Inc.
- Kasch-Haroutounian, M. & Price, S. 2001. Volatility in the transition markets of Central Europe. Applied Financial Economics 11: 93-105.
- Kovačić, Z. 2007. Forecasting volatility: Evidence From the Macedonian Stock Exchange. MPRA Paper No. 5319, advance online publication October 24. http://mpra.ub.uni-muenchen.de/5319/
- MSCI Inc. 2013.The 2013 MSCI Global Market Accessibility Review. New York: MSCI Inc.
- Murinde, V. & Poshakwale, S. 2001. Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia. European Research Studies IV(3-4): 73-101.
- Patev, P. G. & Kanaryan, N. K. 2003. Modelling and Forecasting the Volatility of the Central European Stock Market. Social Science Research Network, advance online publication http://dx.doi.org/10.2139/ssrn.518463
- Sandoval, J. 2006. Do Asymmetric GARCH Models Fit Better Exchange Rate Volatilities on Emerging Markets? ODEON – Observatorio de Economía y Operaciones Numéricas. 3: 97-116.
- Shields, K. K. 1997. Threshold modelling of stock return volatility on Eastern European markets. Economics of Planning 30(2-3):107-125.
- Shin, J. 2005. Stock returns and volatility in emerging stock market. International Journal of Business and Economics 4(1): 31-43.
- Worthington, A. & Higgs, H. 2004. Transmission of Equity Returns and Volatility In Asian Developed And Emerging Markets: A Multivariate GARCH Analysis. International Journal of Finance and Economics 9(1): 71-80
- Yahoo! Finance Worldwide. 2014. Market Performance. Retrieved 31 January 2014, from http://finance.yahoo.com/market-overview/