US stock market volatility persistence: evidence before and after the burst of the IT bubble
Year of publication: |
2009
|
---|---|
Authors: | Cuñado, J. ; Gil-Alana, L. ; Gracia, F. |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 33.2009, 3, p. 233-252
|
Publisher: |
Springer |
Subject: | Volatility | Bull market | Bear market | Long range dependence | Absolute returns | Squared returns |
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