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Breaks and persistency: macroeconomic causes of stock market volatility · Study

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ArticleBreaks and persistency: macroeconomic causes of stock market volatility

Andrea Beltratti2005

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Articlegreen2005

Breaks and persistency: macroeconomic causes of stock market volatility

Andrea Beltratti · Claudio Morana

169 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1989Business conditions and expected returns on stocks and bonds 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model 2006Comovements in international stock markets 2009Macroeconomic determinants of Malaysian stock market 2019The economic drivers of commodity market volatility 2011MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*

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Year2005

Typearticle

Published2005-02-27

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations169

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2005.01.007

openalex_workW1972208167

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2009

Structural Breaks in Financial Time Series

2013Co-integration and causality analysis between stock market prices and their determinates in Jordan

2010Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study