Dima, Bogdan and Murgea, Aurora (2008): The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?
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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|
|Original Title:||The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?|
|Keywords:||volatility, financial crisis, Quandt-Andrews test, FTSE 100, DAX, CAC 40|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets|
|Depositing User:||aurora murgea|
|Date Deposited:||01. Jan 2009 13:04|
|Last Modified:||24. Feb 2013 22:09|
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