US stock market volatility persistence: evidence before and after the burst of the IT bubble
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 33 (2009)
Issue (Month): 3 (October)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Volatility; Bull market; Bear market; Long range dependence; Absolute returns; Squared returns; G10; G12; C32;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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