Fernandez, Viviana - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 267-282
In this article, we study the behavior of the stock prices of a subset of eight U.S. industries from the late 1800's to the Great Depression. In particular, we focus on the potential presence of volatility shifts, the persistence of volatility, and on the degree of co-movement of stock returns...