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Proceedings of the International Conference on Business Excellence
Volume 12 (2018): Issue 1 (May 2018)
Open Access
Measures of volatility for the Romanian Stock Exchange: a regime switching approach
Iulian-Cornel Lolea
Iulian-Cornel Lolea
The Bucharest University of Economic Studies,
Bucharest, Romania
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Lolea, Iulian-Cornel
and
Lucian Constantin Vilcu
Lucian Constantin Vilcu
The Bucharest University of Economic Studies,
Bucharest, Romania
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Vilcu, Lucian Constantin
Jun 15, 2018
Proceedings of the International Conference on Business Excellence
Volume 12 (2018): Issue 1 (May 2018)
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Published Online:
Jun 15, 2018
Page range:
544 - 556
DOI:
https://doi.org/10.2478/picbe-2018-0049
Keywords
volatility
,
BET Index
,
stock exchange
,
VaR
,
loss functions
,
performance evaluation
© 2018 Iulian-Cornel Lolea, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
