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

Author

Listed:
  • 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.

Suggested Citation

  • Dima, Bogdan & Murgea, Aurora, 2008. "The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?," MPRA Paper 12448, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:12448
    as

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    File URL: https://mpra.ub.uni-muenchen.de/12448/1/MPRA_paper_12448.pdf
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    References listed on IDEAS

    as
    1. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    2. 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.
    3. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    4. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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