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

Vasiliki Chatzikonstanti*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)4704-4717
Number of pages14
JournalApplied Economics
Volume49
Issue number46
Early online date22 Feb 2017
DOIs
Publication statusPublished - 22 Feb 2017

Bibliographical note

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

Keywords

  • GARCH
  • outliers
  • stock returns
  • structural breaks

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