Stock Volatility during the Recent Financial Crisis

European Financial Management

Volumn 17, Issue 5, 2011, Pages 789-805

  Schwert, G William ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Crisis; Depression; G11; G12; Recession; Unemployment; Volatility

Indexed keywords

EID: 80054774258     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/j.1468-036X.2011.00620.x     Document Type: Article

References (3)

1. Day, T. E. and Lewis, C. M., 'The behavior of the volatility implicit in the prices of stock index options, ' Journal of Financial Economics, Vol. 22, 1988, pp. 103-22.
2. Schwert, G. W., 'Indexes of US stock prices from 1802 to 1987, ' Journal of Business, Vol. 63, 1990, pp 399-426.
3. Schwert, G. W., 'Stock volatility in the new millennium: how wacky is Nasdaq? Journal of Monetary Economics, Vol. 49, 2002, pp 3-26.