Modelling stock volatilities during financial crises: A time varying coefficient approach

© 2014. We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the under...

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Bibliographic Details
Main Authors: Menelaos Karanasos, Alexandros G Paraskevopoulos, Faek Menla Ali, Michail Karoglou, Stavroula Yfanti
Format: Default Article
Published: 2014
Subjects:
Financial crisis
Time varying GARCH models
Structural breaks
Volatility spillovers
Social Sciences
Business, Finance
Economics
Business & Economics
Finance
Applied Economics
Econometrics
Banking, Finance and Investment
Online Access:https://hdl.handle.net/2134/13169030.v1
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https://hdl.handle.net/2134/13169030.v1

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