Shifts in volatility driven by large stock market shocks

Yiannis Dendramis, George Kapetanios, Elias Tzavalis

Year of publication:	June 2015
Authors:	Dendramis, Yiannis ; Kapetanios, George ; Tzavalis, Elias
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 55.2015, p. 130-147
Subject:	Stochastic volatility \| Structural breaks \| Volatilität \| Volatility \| Strukturbruch \| Structural break \| Aktienmarkt \| Stock market \| Schock \| Shock \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process \| Schätzung \| Estimation \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

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