Breaks and persistency: Macroeconomic causes of stock market volatility

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 151-177

  Beltratti, A ^a   Morana, C ^b,c  

^a BOCCONI UNIVERSITY   (Italy)

^b UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^c International Centre for Economic Research   (Italy)

Author keywords

Fractional cointegration; Long memory; Macroeconomic volatility; Stock market volatility; Structural change

Indexed keywords

FRACTIONAL COINTEGRATION; LONG MEMORY; MACROECONOMIC VOLATILITY; STOCK MARKET VOLATILITY; STRUCTURAL CHANGE;

DATA REDUCTION; INDUSTRIAL ECONOMICS; INDUSTRIAL MANAGEMENT;

INVENTORY CONTROL;

EID: 33644560706     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.007     Document Type: Conference Paper

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