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Volatiliy and growth : an alternative interpretation

Kim, Jangryoul; Kim, Jonghoon - In: Journal of economic research 15 (2010) 3, pp. 233-247

Persistent link: https://www.econbiz.de/10008778138

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003651587

The Markov switching multi-fractal model of asset returns : estimation and forecasting of dynamic volatitility with multinomial specifications

Lee, Hwa Taek - 2007

Persistent link: https://www.econbiz.de/10003767966

Long term vs. short term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien (contributor) - 2008

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Stochastic volatility, long run risks, and aggregate stock market fluctuations

Avdjiev, Stefan; Balke, Nathan S. - 2010

Persistent link: https://www.econbiz.de/10008904029

Volatility, information and stock market crashes

Antonakakis, Nikolaos; Scharler, Johann - 2009

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 … volatility by uniformed traders result in a crash. -- stock market crash ; volatility ; Markov Switching …

Persistent link: https://www.econbiz.de/10009239699