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The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?

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Dima, Bogdan
Murgea, Aurora

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Abstract

The 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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12448.

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Date of creation: 31 Dec 2008
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Handle: RePEc:pra:mprapa:12448

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Related research
Keywords: volatility; financial crisis; Quandt-Andrews test; FTSE 100; DAX; CAC 40;

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Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Wan Mansor Mahmood & Marlinda Ali, 2007. "Interdependence among the Asian Pacific Stock Market during the Asian Financial Crisis," Icfai University Journal of Applied Economics, Icfai Press, vol. 0(4), pages 22-34, July.
  2. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  3. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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