US stock market volatility persistence: evidence before and after the burst of the IT bubble
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More about this item
KeywordsVolatility; Bull market; Bear market; Long range dependence; Absolute returns; Squared returns; G10; G12; C32;
- 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; State Space Models
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