Breaks and persistency: macroeconomic causes of stock market volatility

DOI10.1016/J.JECONOM.2005.01.007MaRDI QIDQ292011zbMATH OpenOpenAlexFDO

Authors A. Beltratti, C. 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

fractional cointegrationlong memorystructural changemacroeconomic volatilitystock market volatility

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• Autoregressive conditional heteroskedasticity and changes in regime
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• Determination of cointegrating rank in fractional systems.
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Log-periodogram regression of time series with long range dependence
• Long memory and regime switching
• Long memory relationships and the aggregation of dynamic models
• Modeling and pricing long memory in stock market volatility
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Nonlinear log-periodogram regression for perturbed fractional processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Distribution of Realized Exchange Rate Volatility

Cited in

(12)

• Multivariate modelling of long memory processes with common components
• What does financial volatility tell us about macroeconomic fluctuations?
• An omnibus noise filter
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• The effect of macroeconomic information announcement on stock market return and volatility
• scientific article; zbMATH DE number 2072568 (Why is no real title available?)
• Macroeconomic fundamentals, jump dynamics and expected volatility
• Adaptive realized hyperbolic GARCH process: stability and estimation
• Change-point computation for large graphical models: a scalable algorithm for Gaussian graphical models with change-points
• Analysis of shares frequency components on daily value-at-risk in emerging and developed markets
• Shifts in volatility driven by large stock market shocks
• An efficient sequential learning algorithm in regime-switching environments

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