Breaks and persistency: macroeconomic causes of stock market volatility

189 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, unknown): “For the real financial data, due to reasons such as the structural breaks in the real economy, regime switching is very likely to exist (Marcucci, 2005; Engle and Rangel, 2008; Beltratti and Morana, 2006).”
Anticipating Long‐Term Stock Market Volatility (2014, unknown): “As mentioned before, our paper can be considered as complementary to Beltratti and Morana (2006), Paye (2012), Dorion (2012), Corradi et al. (2012), and Christiansen et al. (2012), for example.”
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach (2009, background): “Also, Beltratti and Morana (2006) relate breaks in stock market volatility to monetary policy reactions in response to business cycle conditions.”
Macroeconomic determinants of Malaysian stock market (2009, background): “The second category is to examine factors determining stock return volatility such as in Beltratti and Morana (2006) and Schwert (1989).”