The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?

Dima, Bogdan and Murgea, Aurora (2008): The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences? Unpublished.

Abstract

The uncertainty about the market’ evolutions are one striking characteristic of the financial crisis. The objective of this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output consists in the thesis that “volatility matters” for an extended financial crisis explanation.

• Item Type: MPRA Paper
• Language: English
• Keywords: volatility, financial crisis, Quandt-Andrews test, FTSE 100, DAX, CAC 40
• Subjects: G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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