The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?
AbstractThe uncertainty about the market’ evolutions are one striking characteristic of the financial crisis. The objective of this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output consists in the thesis that “volatility matters” for an extended financial crisis explanation.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 12448.
Date of creation: 31 Dec 2008
Date of revision:
volatility; financial crisis; Quandt-Andrews test; FTSE 100; DAX; CAC 40;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-03 (All new papers)
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