How wacky is the DAX?: the changing structure of German stock market volatility
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2003
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre
2003,18 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 39 S. graph. Darst. |
| ISBN: | 3935821751 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
1 Introduction 1
2 Methods 3
3 Data 5
4 Structural break in volatility 6
5 Volatility decomposition 12
6 What causes the shift in volatility ? 17
7 Outlook 21
A Appendix A 26
List of Figures
1 DAX returns with volatility breakpoint 8
2 Volatility breakpoints for individual stock returns 9
3 High volatility regimes of the German stock market 11
4 Moving window volatility 13
5 Moving window idiosyncratic volatility 13
6 Volatility decomposition 16
7 Dax returns and institutional investors 19
A.I Markov switching volatility regimes 31
List of Tables
1 Pre break and post break GARCH estimates for the DAX index ... 10
2 Test for a break in the volatility of interest rates 21
A.I Estimated breakpoints 26
A.2 GARCH parameters for pre break and post break periods 28
A.3 GARCH model with investor variable 30
A.4 DAX returns explained by S P 100 30
A.5 DAX returns explained by Dow Jones Comp 65 31
|
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic | Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV017768853 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:21:35Z |
| institution | BVB |
| isbn | 3935821751 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010670814 |
| oclc_num | 76658069 |
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| physical | 39 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre |
| spelling | Stapf, Jelena Verfasser aut How wacky is the DAX? the changing structure of German stock market volatility Jelena Stapf ; Thomas Werner Frankfurt am Main Dt. Bundesbank 2003 39 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre 2003,18 Volatilität (DE-588)4268390-7 gnd rswk-swf Deutscher Aktienindex (DE-588)4266832-3 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutscher Aktienindex (DE-588)4266832-3 s Volatilität (DE-588)4268390-7 s DE-604 Deutschland (DE-588)4011882-4 g Aktienmarkt (DE-588)4130931-5 s DE-188 Werner, Thomas Verfasser aut Deutsche Bundesbank Discussion paper Series 1: Studies of the Economic Research Centre ; 2003,18 (DE-604)BV017594637 2003,18 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010670814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stapf, Jelena Werner, Thomas How wacky is the DAX? the changing structure of German stock market volatility Volatilität (DE-588)4268390-7 gnd Deutscher Aktienindex (DE-588)4266832-3 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4266832-3 (DE-588)4130931-5 (DE-588)4011882-4 |
| title | How wacky is the DAX? the changing structure of German stock market volatility |
| title_auth | How wacky is the DAX? the changing structure of German stock market volatility |
| title_exact_search | How wacky is the DAX? the changing structure of German stock market volatility |
| title_full | How wacky is the DAX? the changing structure of German stock market volatility Jelena Stapf ; Thomas Werner |
| title_fullStr | How wacky is the DAX? the changing structure of German stock market volatility Jelena Stapf ; Thomas Werner |
| title_full_unstemmed | How wacky is the DAX? the changing structure of German stock market volatility Jelena Stapf ; Thomas Werner |
| title_short | How wacky is the DAX? |
| title_sort | how wacky is the dax the changing structure of german stock market volatility |
| title_sub | the changing structure of German stock market volatility |
| topic | Volatilität (DE-588)4268390-7 gnd Deutscher Aktienindex (DE-588)4266832-3 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| topic_facet | Volatilität Deutscher Aktienindex Aktienmarkt Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010670814&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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