Work

Breaks and outliers when modelling the volatility of the U.S. stock market

Year: 2017

Type: article

Abstract: This study analyses volatility persistence of the U.S. stock market, after taking into account the role of breaks and outliers. By employing a wavelet-based algorithm, it identifies several outliers which are comfortably associated with major events such as the ‘Black Monday’ and the Asian crisis. There is also evidence of clustering of breaks and a substantial variation in the properties of the identified segments.

Source: Applied Economics

DOI: 10.1080/00036846.2017.1293785

Author: Vasiliki Chatzikonstanti

Institutions: Aston University, University of Patras

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: University of Patras

Award: G6671217884