The paper studies the relation between stock market volatility and the volatility of relevant macroeconomic variables. The paper innovates over pre-existing literature in the use of an econometric model which may allow for structural breaks in the volatility series.
Breaks and persistency: macroeconomic causes of stock market volatility
BELTRATTI, ANDREA;
2006
Abstract
The paper studies the relation between stock market volatility and the volatility of relevant macroeconomic variables. The paper innovates over pre-existing literature in the use of an econometric model which may allow for structural breaks in the volatility series.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
