William E. Simon Graduate School of Business Administration, University of Rochester, and National Bureau of Economic Research. I received helpful comments from David Backus, Fischer Black, Marie Davidian, Harry DeAngelo, Beni Lauterbach, Ron Masulis, Grant McQueen, Robert Merton, Dan Nelson, Charles Plosser, Paul Seguin, Robert Stambaugh, Jerold Zimmerman, seminar participants at Yale University and at the Universities of Chicago, Michigan, Rochester, and Washington, and three anonymous referees. Ken French and René Stulz deserve special credit for their help. The Bradley Policy Research Center at the University of Rochester provided support for this research.
Why Does Stock Market Volatility Change Over Time?
Version of Record online: 30 APR 2012
© 1989 the American Finance Association
The Journal of Finance
Volume 44, Issue 5, pages 1115–1153, December 1989
How to Cite
SCHWERT, G. W. (1989), Why Does Stock Market Volatility Change Over Time?. The Journal of Finance, 44: 1115–1153. doi: 10.1111/j.1540-6261.1989.tb02647.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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