Modelling stock volatilities during financial crises: A time varying coefficient approach

© 2014. We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the under...

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Bibliographic Details
Main Authors: Menelaos Karanasos, Alexandros G Paraskevopoulos, Faek Menla Ali, Michail Karoglou, Stavroula Yfanti
Format: Default Article
Published: 2014
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Online Access:https://hdl.handle.net/2134/13169030.v1
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