Stock Market Volatility: Ten Years After the Crash
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Other versions of this item:
- G. William Schwert, 1998. "Stock Market Volatility: Ten Years After the Crash," NBER Working Papers 6381, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Barro, Robert J, 1990. "The Stock Market and Investment," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-131.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
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- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-061, New York University, Leonard N. Stern School of Business-.
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"The equity premium and the business cycle: the role of demand and supply shocks,"
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- Raphael Hekimian & David Le Bris, 2016. "US Crashes of 2008 and 1929 How did the French market react? An empirical study," EconomiX Working Papers 2016-21, University of Paris Nanterre, EconomiX.
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
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More about this item
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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