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

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.

Publication DOI: https://doi.org/10.1080/00036846.2017.1293785
Divisions: College of Business and Social Sciences > Aston Business School
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 22/2/18, available online: http://www.tandfonline.com/10.1080/00036846.2017.1293785
Uncontrolled Keywords: GARCH,outliers,stock returns,structural breaks,Economics and Econometrics
Publication ISSN: 1466-4283
Last Modified: 11 Dec 2024 08:09
Date Deposited: 15 Mar 2017 09:00
Full Text Link:
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2017-02-22
Published Online Date: 2017-02-22
Accepted Date: 2017-02-22
Authors: Chatzikonstanti, Vasiliki (ORCID Profile 0000-0001-8669-1348)

Download

[img]

Version: Accepted Version

| Preview

Export / Share Citation


Statistics

Additional statistics for this record