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How wacky is the DAX? The changing structure of German stock market volatility
Werner, Thomas; Stapf, Jelena - 2003
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...
Persistent link: https://www.econbiz.de/10010295810
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Die Wirkung von Wechselkursvolatilitäten auf das Investitionsverhalten : eine theoretische und empirische Analyse aus der Perspektive der Realoptionstheorie
Werner, Thomas - In: Kredit und Kapital 34 (2001) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10001580216
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How Wacky is the DAX? The Changing Structure of German Stock Market Volatility
Stapf, Jelena - 2016
In this paper we investigate the volatility structure of the German stock marketDieses Arbeitspapier analysiert Veränderungen der Volatilität des Deutschen Aktienindex (DAX) und der in ihm enthaltenen Aktienwerte. Ein kürzlich entwickelter Test zeigt einen Bruch im Ausmaß der Schwankungen...
Persistent link: https://www.econbiz.de/10012991178
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How wacky is the DAX? : the changing structure of German stock market volatility
Stapf, Jelena; Werner, Thomas - 2003
Persistent link: https://www.econbiz.de/10004436025
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How wacky is the DAX? : The changing structure of German stock market volatility
Stapf, Jelena; Werner, Thomas - 2003
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...
Persistent link: https://www.econbiz.de/10001851295
Cover Image
How wacky is the DAX? : the changing structure of German stock market volatility
Stapf, Jelena; Werner, Thomas - 2003
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...
Persistent link: https://www.econbiz.de/10011432267