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Journal of Applied Econometrics
Volumn 11, Issue 5, 1996, Pages 573-593
Stock market volatility and the business cycle
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Indexed keywords

EID: 0039805537     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199609)11:5<573::AID-JAE413>3.0.CO;2-T     Document Type: Article
Times cited : (446)
References (11)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews, D. W. K. (1993), 'Tests for parameter instability and structural change with unknown change point', Econometrica, 61, 821-856.
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 0012387561 scopus 로고
    • Risk, time-varying second moments and market efficiency
    • Attanasio, O. (1991), 'Risk, time-varying second moments and market efficiency', Review of Economic Studies, 58, 479-494.
    • (1991) Review of Economic Studies , vol.58 , pp. 479-494
    • Attanasio, O.1
  • 3
    • 0001062383 scopus 로고
    • Studies of stock market volatility changes
    • Business and Economic Statistics Section
    • Black, F. (1976), 'Studies of stock market volatility changes', Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
    • (1976) Proceedings of the American Statistical Association , pp. 177-181
    • Black, F.1
  • 4
    • 24944563491 scopus 로고
    • Does the link between money and output differ over the business cycle?
    • Federal Reserve Bank of New York
    • Boldin, M. D. (1994), 'Does the link between money and output differ over the business cycle?' Working Paper, Federal Reserve Bank of New York.
    • (1994) Working Paper
    • Boldin, M.D.1
  • 5
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. (1986), 'Generalized autoregressive conditional heteroskedasticity', Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 6
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev, T., R. Y. Chou and K. F. Kroner (1992), 'ARCH modeling in finance: a review of the theory and empirical evidence', Journal of Econometrics, 52, 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 8
    • 84892911208 scopus 로고
    • A Markov model of unconditional variance in ARCH
    • Cai, J. (1994), 'A Markov model of unconditional variance in ARCH', Journal of Business and Economic Statistics, 12, 309-316.
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    • Cai, J.1
  • 9
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J. Y. (1987), 'Stock returns and the term structure', Journal of Financial Economics, 18, 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.Y.1
  • 10
    • 24944547963 scopus 로고
    • Switching volatility and persistence: Empirical evidence and simulation results
    • University of Houston
    • Susmel, R. (1994b), 'Switching volatility and persistence: empirical evidence and simulation results', Working Paper, University of Houston.
    • (1994) Working Paper
    • Susmel, R.1
  • 11
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    • A Markov model of heteroskedasticity, risk, and learning in the stock market
    • Turner, C. M., R. Startz and C. R. Nelson (1989), 'A Markov model of heteroskedasticity, risk, and learning in the stock market', Journal of Financial Economics, 25, 3-22.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.