The volatility of the European capital markets during the curent financial crisis:what are saying the empirical evidences?

Bogdan Dima and Aurora Murgea ()

MPRA Paper from University Library of Munich, Germany

Abstract: The uncertainty about the market’ evolutions are one striking characteristic of the financial crisis. The objective of this paper is to find some evidences for the pre/ crisis periods actual shifting in volatility for some major European markets. The methodology is based on two particular measures of volatility and in structural changes tests. The main output consists in the thesis that “volatility matters” for an extended financial crisis explanation.

Keywords: volatility; financial crisis; Quandt-Andrews test; FTSE 100; DAX; CAC 40 (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2008-12-31
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/12448/1/MPRA_paper_12448.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:12448

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().