Sensitivity, Persistence and Asymmetric Effects in International Stock Market Volatility during the Global Financial Crisis || Efectos de sensibilidad, persistencia y asimetría en la volatilidad de los mercados bursátiles internacionales
en el entorno de la crisis financiera global

Sensitivity, Persistence and Asymmetric Effects in International Stock Market Volatility during the Global Financial Crisis || Efectos de sensibilidad, persistencia y asimetría en la volatilidad de los mercados bursátiles internacionales
en el entorno de la crisis financiera global

Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using ba...

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Bibliographic Details
Main Author: Gabriel, Vítor
Format: Article
Language:English
Published: Pablo de Olavide University 2015-06-01
Series:Revista de Métodos Cuantitativos para la Economía y la Empresa
Subjects:
global financial crisis
international stock markets
GARCH models
conditional volatility
crisis financiera global
mercados bursátiles
modelos GARCH
volatilidad condicional
Online Access:http://www.upo.es/RevMetCuant/pdf/vol19/art103.pdf

Internet

http://www.upo.es/RevMetCuant/pdf/vol19/art103.pdf

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