In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using … a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after … 1997 but the volatility persistence also increased. That means that there is a greater likelihood of high volatility days …

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using … a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after … 1997 but the volatility persistence also increased. That means that there is a greater likelihood of high volatility days …

In this paper we investigate the volatility structure of the German stock marketDieses Arbeitspapier analysiert …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …