Antonakakis, Nikolaos; Scharler, Johann - In: Journal of Advanced Studies in Finance III (2012) 1, pp. 49-67
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...