THE STOCK MARKET CRASH OF 1929:IRVING FISHER WAS RIGHT!
THE STOCK MARKET CRASH OF 1929:IRVING FISHER WAS RIGHT!
Over the past few decades, research in nancial economics has taken a high e¤ort to increase the understanding of the volatility patterns of stock market returns. Indeed, good knowledge of return volatility is crucial for portfolio choice, risk management and derivatives asset pricing. Perhaps the most robust empirical regularity of stock return volatility is volatility clustering. As rst noted by Mandelbrot (1963) when referring to stock market returns, large changes tend to be followed by large