Liljeblom, Eva; Stenius, Marianne - In: Applied Financial Economics 7 (1997) 4, pp. 419-426
The relationship is analysed between conditional stock market volatility and macroeconomic volatility using monthly data for Finland from 1920 to 1991. Conditional monthly volatility is measured as simple weighted moving averages, and also obtained from GARCH estimations. The results are...