Breaks and persistency: macroeconomic causes of stock market volatility

DOI10.1016/J.JECONOM.2005.01.007zbMath1337.62343OpenAlexW1972208167MaRDI QIDQ292011

Andrea Beltratti, Claudio Morana

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.007

zbMATH Keywords

long memorystructural changefractional cointegrationmacroeconomic volatilitystock market volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (7)

Adaptive realized hyperbolic GARCH process: stability and estimation ⋮ Analysis of shares frequency components on daily value-at-risk in emerging and developed markets ⋮ An efficient sequential learning algorithm in regime-switching environments ⋮ An omnibus noise filter ⋮ Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach ⋮ Unnamed Item ⋮ Multivariate modelling of long memory processes with common components

Cites Work

• Unnamed Item
• Unnamed Item
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Long memory relationships and the aggregation of dynamic models
• Autoregressive conditional heteroskedasticity and changes in regime
• Nonlinear log-periodogram regression for perturbed fractional processes
• Determination of cointegrating rank in fractional systems.
• Log-periodogram regression of time series with long range dependence
• Modeling and pricing long memory in stock market volatility
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• The Distribution of Realized Exchange Rate Volatility
• Long memory and regime switching

This page was built for publication: Breaks and persistency: macroeconomic causes of stock market volatility