Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65
Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using...