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- W2992255191 abstract "Financial market volatility is an important element when setting up port-folio management strategies, option pricing and market regulation. TheSubprime crisis a ected all markets around the world.Daily data of twelve stock indexes for the period of October 1999 to June2011 are studied using basic GARCH type models. The data were then di-vided into three di erent sub-periods to allow the behavior of stock marketin di erent sub-periods to be investigated. The following sub-periods areidentied: Dot-Com crisis, Quiet and Subprime crisis. This paper revealedthat the Subprime crisis turned out to have bigger impact on stock marketvolatility, namely at sensitivity, persistence and asymmetric e ects." @default.
- W2992255191 created "2019-12-13" @default.
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- W2992255191 date "2015-01-01" @default.
- W2992255191 modified "2023-09-24" @default.
- W2992255191 title "Sensitivity, Persistence and Asymmetric Effects in International Stock Market Volatility during the Global Financial Crisis" @default.
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