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http://bura.brunel.ac.uk/handle/2438/8671
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DC Field | Value | Language |
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dc.contributor.author | Moore, T | - |
dc.date.accessioned | 2014-07-15T08:42:09Z | - |
dc.date.available | 2014-07-15T08:42:09Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Journal of International Financial Markets, Institutions and Money, 19(1), 33 - 46, 2009 | en_US |
dc.identifier.issn | 1042-4431 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S1042443107000443 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/8671 | - |
dc.description | This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2007 Elsevier B.V. | en_US |
dc.description.abstract | This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994–2006, the time period of sudden change in variance of returns and the length of this variance shift are detected. A sudden change in volatility seems to arise from the evolution of emerging stock markets, exchange rate policy changes and financial crises. Evidence also reveals that when sudden shifts are taken into account in the GARCH models, the persistence of volatility is reduced significantly in every series. It suggests that many previous studies may have overestimated the degree of volatility persistence existing in financial time series. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Stock return volatility | en_US |
dc.subject | ICSS algorithm | en_US |
dc.subject | Emerging stock markets | en_US |
dc.subject | GARCH | en_US |
dc.title | Sudden changes in volatility: The case of five central European stock markets | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.intfin.2007.08.006 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff TxP | - |
pubs.organisational-data | /Brunel/Brunel Active Staff TxP/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH) | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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Fulltext.pdf | 276.98 kB | Adobe PDF | View/Open |
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