haku: @indexterm MACROECONOMIC MODELS / yhteensä: 204
viite: 10 / 204
| Tekijä: | Morelli, D. |
| Otsikko: | The relationship between conditional stock market volatility and conditional macroeconomic volatility: empirical evidence on UK data |
| Lehti: | International Review of Financial Analysis
2002 : VOL. 11:1, p. 101-110 |
| Asiasana: | AUTOREGRESSION HETEROSCEDASTICITY MACROECONOMIC MODELS STOCK MARKETS VOLATILITY UNITED KINGDOM |
| Kieli: | eng |
| Tiivistelmä: | This paper attempts to determine the relationship between conditional stock market volatility and conditional macroeconomic volatility based upon monthly UK data covering the period January 1967-December 1995. Conditional volatility is estimated using the well-known Autoregressive Conditional Heteroscedastic (ARCH), Generalised ARCH (GARCH) models. |
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