Why Does Stock Market Volatility Change Over Time?
Tóm tắt
Từ khóa
Tài liệu tham khảo
Black Fischer, 1976, Proceedings of the 1976 Meetings of the Business and Economics Statistics Section, 177
Box George E. P., 1970, Distribution of residual autocorrelations in autoregressive‐integrated‐moving average time series models, Journal of the American Statistical Association, 65, 1509, 10.1080/01621459.1970.10481180
Ciccolo John C., 1986, The Changing Roles of Debt and Equity in Financing U.S. Capital Formation, 81
1978, Citibase Economic Database, 1946–86 [machine‐readable magnetic datafile
Cowles, Alfred III and Associates, 1939, Common Stock Indexes
Dow Jones & Co., 1972, The Dow Jones Averages, 1885–1970
Fama Eugene F.andKennethR. French 1989 Business conditions and expected returns on stocks and bonds Journal of Financial Economics Forthcoming.
Federal Reserve Board, 1976, Banking and Monetary Statistics, 1914–1941
Federal Reserve Board, 1976, Banking and Monetary Statistics, 1941–1970
Federal Reserve Board, 1986, Industrial Production
Fuller Wayne A., 1976, Introduction to Statistical Time Series
Holland Daniel M., 1979, The Nation's Capital Needs: Three Studies
Ibbotson Associates, 1986, Stocks, Bonds, Bills, and Inflation: 1986 Yearbook
Kendall Maurice G., 1969, The Advanced Theory of Statistics
Lauterbach Beni 1989 Consumption volatility production volatility spot rate volatility and the returns on Treasury bills and bonds Journal of Financial Economics Forthcoming.
Macaulay Frederick R., 1938, The Movements of Interest Rates, Bond Yields and Stock Prices in the United States Since 1856
Moore Geoffrey H., 1961, Business Cycle Indicators, Vol. II, Basic Data on Cyclical Indicators
Pindyck Robert S., 1984, Risk, inflation, and the stock market, American Economic Review, 74, 335
Poterba James M., 1986, The persistence of volatility and stock market fluctuations, American Economic Review, 76, 1142
Romer Christina D., 1986, Is the stabilization of the postwar economy a figment of the data, American Economic Review, 76, 314
Schwert G.William 1989c Stock volatility and the crash of 87 Review of Financial Studies Forthcoming.
Schwert G.William 1989d Indexes of United States stock prices from 1802–1987 Journal of Business Forthcoming.
Shapiro Matthew D., 1988, The stabilization of the U.S. economy: Evidence from the stock market, American Economic Review, 78, 1067
Shiller Robert J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends, American Economic Review, 75, 421
Smith Walter B., 1935, Fluctuations in American Business, 1790–1860
Standard & Poor's, 1986, Security Price Index Record
Taggart Robert A., 1986, The Changing Roles of Debt and Equity in Financing U.S. Capital Formation
Turner Christopher M. RichardStartz. andCharlesR. Nelson 1989 A Markov model of heteroskedasticity risk and learning in the stock market Journal of Financial Economics Forthcoming.
Warren G. F., 1933, Bureau of Labor Statistics
