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 …

factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …