Breaks and persistency: macroeconomic causes of stock market volatility

DOI10.1016/J.JECONOM.2005.01.007zbMATH Open1337.62343OpenAlexW1972208167MaRDI QIDQ292011FDOQ292011

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)

Cites Work

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• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• The Distribution of Realized Exchange Rate Volatility
• 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
• Long memory and regime switching
• Nonlinear log-periodogram regression for perturbed fractional processes
• Long memory relationships and the aggregation of dynamic models
• Determination of cointegrating rank in fractional systems.
• Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation

Cited In (7)

• Multivariate modelling of long memory processes with common components
• An omnibus noise filter
• Title not available (Why is that?)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• 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

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