Beltratti, Andrea; Morana, Claudio - Dipartimento di Scienze Economiche e Metodi … - 2004
In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...