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The relationship between conditional stock market volatility and conditional macroeconomic volatility: Empirical evidence based on UK data

  • Morelli, David
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-44NM73N-2/2/afae22387c5ab179edf1bab2d526411a
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 11 (2002)
    Issue (Month): 1 ()
    Pages: 101-110

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    Handle: RePEc:eee:finana:v:11:y:2002:i:1:p:101-110
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    1. Eva Liljeblom & Marianne Stenius, 1997. "Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 419-426.
    2. Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
    3. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    6. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    7. Patricia Fraser & David Power, 1997. "Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 241-253.
    8. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Beenstock, Michael & Chan, Kam-Fai, 1988. "Economic Forces in the London Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(1), pages 27-39, February.
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