Charles, Amélie; Darné, Olivier - In: Journal of Banking & Finance 43 (2014) C, pp. 188-199
We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections,...