Stock volatility, return jumps and uncertainty shocks during the Great Depression
Gabriel P. Mathy
| Year of publication: |
August 2016
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|---|---|
| Authors: | Mathy, Gabriel P. |
| Published in: |
Financial history review. - Cambridge : Cambridge Univ. Press, ISSN 0968-5650, ZDB-ID 1156593-7. - Vol. 23.2016, 2, p. 165-192
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| Subject: | uncertainty shocks | stock volatility | jump-diffusion process | Great Depression | Volatilität | Volatility | Schock | Shock | Konjunktur | Business cycle | Börsenkurs | Share price | Risiko | Risk | Wirtschaftskrise | Economic crisis | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | VAR-Modell | VAR model | ARCH-Modell | ARCH model |