US stock market volatility persistence: evidence before and after the burst of the IT bubble

J. Cuñado, Luis Gil-Alana and Fernando Pérez de Gracia ()

Review of Quantitative Finance and Accounting, 2009, vol. 33, issue 3, 233-252

Keywords: Volatility; Bull market; Bear market; Long range dependence; Absolute returns; Squared returns; G10; G12; C32 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s11156-009-0111-5

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