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Volatility and stock price indexes

Clements, Kenneth W.; Izan, H. Y.; Lan, Yihui - In: Applied economics 45 (2013) 22/24, pp. 3255-3262

Persistent link: https://www.econbiz.de/10010345452

Explaining international stock correlations with CPI fluctuations and market volatility

Cai, Yijie; Chou, Ray Yeutien; Li, Dan - In: Journal of banking & finance 33 (2009) 11, pp. 2026-2035

Persistent link: https://www.econbiz.de/10003892191

Stability price index, core inflation and output volatility

Charemza, Wojciech; Shah, Imran - 2012

Persistent link: https://www.econbiz.de/10009670645

Sunspots and inflation-indexed bonds

Kang, Minwook - 2014

Persistent link: https://www.econbiz.de/10010370350

Bubbles or Volatility : A Markov-Switching Unit Root Test with Regime-Varying Error Variance

Shi, Shuping - 2011

We demonstrate that the constant variance assumption in the Markov-switching Augmented Dickey-Fuller (ADF) test proposed by Hall, Psaradakis and Sola (1999) may result in the misjudgement of bubbles. Upon relaxing this assumption to allow for regime-varying error variances in the...

Persistent link: https://www.econbiz.de/10014177633