Shifts in volatility driven by large stock market shocks
Year of publication: |
June 2015
|
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Authors: | Dendramis, Yiannis ; Kapetanios, George ; Tzavalis, Elias |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 55.2015, p. 130-147
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Subject: | Stochastic volatility | Structural breaks | Volatilität | Volatility | Strukturbruch | Structural break | Schock | Shock | Aktienmarkt | Stock market | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Konjunktur | Business cycle |
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