The relationship between conditional stock market volatility and conditional macroeconomic volatility empirical evidence based on UK data

International Review of Financial Analysis

Volumn 11, Issue 1, 2002, Pages 101-110

  Morelli, David ^a  

^a UNIVERSITY OF KENT   (United Kingdom)

Author keywords

ARCH; Conditional variance; Conditional volatility; Macroeconomic variables; Stock market

Indexed keywords

EID: 0036183750     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(01)00066-7     Document Type: Article

References (15)

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2. Econometric forces in the London stock market
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4. Economic forces and the stock market
5. Macroeconomic factors, the APT and the UK stock-market
6. Autoregressive conditional heteroscedasticity with estimates of the variance of the UK inflation
7. Modelling the persistence of conditional variances
8. Stock return volatility and information: An empirical analysis of Pacific Rim, UK and US equity markets
9. Expected stock returns and stability
10. Share price and macroeconomic factors
11. Macroeconomic volatility and stock market volatility: Empirical evidence on Finnish data
12. Macroeconomic factors and The UK stock market
13. Stock returns and volatility: An empirical study of the UK stock market
14. Why does stock market volatility change over time?
15. A heteroscedastic-consistent covariance matrix estimator and a direct test for heteroscedasticity