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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

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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File URL: http://mpra.ub.uni-muenchen.de/12448/
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Bibliographic Info

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

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  1. Wan Mansor Mahmood & Marlinda Ali, 2007. "Interdependence among the Asian Pacific Stock Market during the Asian Financial Crisis," The IUP Journal of Applied Economics, IUP Publications, vol. 0(4), pages 22-34, July.
  2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  3. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
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