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

Vasiliki Chatzikonstanti

doi:10.1080/00036846.2017.1293785

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

Vasiliki Chatzikonstanti^*

^*Corresponding author for this work

Aston Business School

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	4704-4717
Number of pages	14
Journal	Applied Economics
Volume	49
Issue number	46
Early online date	22 Feb 2017
DOIs	https://doi.org/10.1080/00036846.2017.1293785
Publication status	Published - 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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10.1080/00036846.2017.1293785

Modelling the volatility of the US stock breaks and outliers
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
Accepted author manuscript, 412 KB

Cite this

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

Abstract

Bibliographical note

Keywords

Access to Document

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