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Australian stock market volatility : 1875 - 1987

Kearns, P.; Pagan, Adrian R. - 1990

Persistent link: https://www.econbiz.de/10000798422

Alternative models for conditional stock volatility

Pagan, Adrian R.; Schwert, George William - 1989

Persistent link: https://www.econbiz.de/10000765771

A simple framework for analysing bull and bear markets

Pagan, Adrian R.; Sossounov, Kirill A. - In: Journal of applied econometrics 18 (2003) 1, pp. 23-46

Persistent link: https://www.econbiz.de/10001738239

Estimating the density tail index for financial time series

Kearns, Phillip - In: The review of economics and statistics 79 (1997) 2, pp. 171-175

Persistent link: https://www.econbiz.de/10001222499

Australian stock market volatility : 1875 - 1987

Kearns, P. - In: The economic record : er 69 (1993) 205, pp. 163-178

Persistent link: https://www.econbiz.de/10001145156

Testing for covariance stationarity in stock market data

Pagan, Adrian R. - In: Economics letters 33 (1990) 2, pp. 165-170

Persistent link: https://www.econbiz.de/10001088170

Alternative models for conditional stock volatility

Pagan, Adrian R. - In: Journal of econometrics 45 (1990) 1, pp. 267-290

Persistent link: https://www.econbiz.de/10001332072

Alternative Models For Conditional Stock Volatility

Pagan, Adrian R. - 1989

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary...

Persistent link: https://www.econbiz.de/10012476093