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occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …
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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...
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Dieses Arbeitspapier analysiert Veränderungen der Volatilität des Deutschen Aktienindex (DAX) und der in ihm …
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