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Volumn 27, Issue 5-6, 2000, Pages 761-776

The impulse of stock market volatility and the market crash of October 1987

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EID: 34548491914     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00333     Document Type: Article
Times cited : (6)

References (14)
  • 1
    • 0030527061 scopus 로고    scopus 로고
    • Stock market volatility and the crash of 1987: Evidence from six emerging markets
    • Choudhry, T. (1996), 'Stock Market Volatility and the Crash of 1987: Evidence from Six Emerging Markets', Journal of International Money and Finance, Vol. 15, pp. 969-81.
    • (1996) Journal of International Money and Finance , vol.15 , pp. 969-981
    • Choudhry, T.1
  • 2
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with unit root
    • Dickey, D.A. and W. Fuller (1979), 'Distribution of the Estimators for Autoregressive Time Series with Unit Root', Journal of the American Statistical Association, Vol. 74, pp. 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.2
  • 4
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    • Implied ARCH models from options prices
    • Engle, R. and C. Mustafa (1992), 'Implied ARCH Models from Options Prices', Journal of Econometrics, Vol. 52, pp. 289-311.
    • (1992) Journal of Econometrics , vol.52 , pp. 289-311
    • Engle, R.1    Mustafa, C.2
  • 6
    • 0043017753 scopus 로고    scopus 로고
    • A causality test of the october crash of 1987: Evidence from Asian stock markets
    • Najand, M. (1996), 'A Causality Test of the October Crash of 1987: Evidence From Asian Stock Markets', Journal of Business Finance & Accounting, Vol. 23, No. 3 (April), pp. 439-48.
    • (1996) Journal of Business Finance & Accounting , vol.23 , Issue.3 APRIL , pp. 439-448
    • Najand, M.1
  • 7
    • 77956888124 scopus 로고
    • Testing for a unit root in time series
    • Phillips, P. C. and P. Perron (1988), 'Testing for a Unit Root in Time Series', Biometrika, Vol. 75, pp. 335-46.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.1    Perron, P.2
  • 8
    • 0004123503 scopus 로고
    • RATS, Version 4.20, VAR Econometrics (Minneapolis, Minnesota)
    • RATS (1995), User's Manual Version 4.20, VAR Econometrics (Minneapolis, Minnesota).
    • (1995) User's Manual
  • 9
    • 0003147502 scopus 로고
    • The international market crash of october 1987
    • Roll, R. (1988), 'The International Market Crash of October 1987', The Financial Analysts Journal, Vol. 44, pp. 19-25.
    • (1988) Financial Analysts Journal , vol.44 , pp. 19-25
    • Roll, R.1
  • 10
    • 0002025664 scopus 로고
    • Stock volatility and the crash of 1987
    • Schwert, W. (1990), 'Stock Volatility and the Crash of 1987', Review of Financial Studies, Vol. 3, pp. 77-102.
    • (1990) Review of Financial Studies , vol.3 , pp. 77-102
    • Schwert, W.1
  • 12
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims, C. A. (1980), 'Macroeconomics and Reality', Econometrica, Vol. 48, pp. 1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 13
    • 0001688043 scopus 로고
    • Policy analysis with econometric models
    • Sims, C.A. (1982), 'Policy Analysis with Econometric Models', Brookings Paper on Economic Activity, Vol. 1, pp. 107-52.
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    • Sims, C.A.1
  • 14


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