Ανάλυση κινδύνου σε αποδόσεις χρηματοοικονομικών δεικτών σε χώρες της Ευρωπαϊκής Ένωσης
Risk analysis in stock returns for European Union countries
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Subject
Χρηματιστήρια αξιών -- Ευρώπη ; Stock marketKeywords
Χρηματιστηριακοί δείκτες ; Κίνδυνος ; Αστάθεια ; Value-at-risk ; Αυτοπαλίνδρομα υποδείγματα υπο συνθήκη ετεροσκεδαστικότητας ; Stock market indices ; Risk ; Volatility ; Autoregressive conditional heteroskedasticity modelsAbstract
This thesis developed the theme of risk analysis of returns in the stock market indexes- landmark of countries that belong to European Union. More specifically, the first part presents the meaning, purpose, contribution and a brief flashback to the Stock Exchange history. The second part analyzes the conditions that must be met to create indexes and advantages of their use. Also, this study includes a detailed report of the history of the countries, and the corresponding key indicators. The third part deals with the concept of risk, risk types, risk management and the ways in which the risk is measured. The fourth part presents the concept of time series and various models of time series. Moreover, this is a description of the Box & Jenkins method. Finally, the last chapter is the risk measurement with a complex economic approach, which combines the analysis of time series ARIMA models and conditional heteroskedasticity models, known as GARCH models.
Postgraduate Studies Programme
Οικονομική και Επιχειρησιακή ΣτρατηγικήDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςNumber of pages
163Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές