Stock Volatility and the Crash of '87
利用1885年至1987年的日度数据，分析股票收益波动性的行为，发现1987年10月崩盘期间波动性急剧上升但迅速恢复正常，并通过期权和期货数据验证了这一结果。
This paper analyzes the behavior of stock return volatility using daily data from 1885 through 1987. The October 1987 stock market crash was unusual in many ways relative to prior history. In particular, stock volatility jumped dramatically during and after the crash, but it returned to lower. more normal levels quickly. I use data on implied volatilities from call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result.