Full metadata record
DC FieldValueLanguage
dc.contributor.authorKrämer, Walter-
dc.contributor.authorMessow, Philip-
dc.date.accessioned2011-12-06T11:44:43Z-
dc.date.available2011-12-06T11:44:43Z-
dc.date.issued2011-12-06-
dc.identifier.urihttp://hdl.handle.net/2003/29217-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-3067-
dc.description.abstractWe extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in volatility implied by the estimated model parameters follows suit. This explains why stochastic volatility often appears to be more persistent when estimated from a larger sample as then the likelihood increases that there might have been some structural change in between.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;48/2011en
dc.subjectpersistenceen
dc.subjectstochastic volatilityen
dc.subjectstructural changeen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleStructural change and spurious persistence in stochastic volatilityen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_4811_SFB823_Krämer_Messow.pdfDNB226.44 kBAdobe PDFView/Open


This item is protected by original copyright



This item is protected by original copyright rightsstatements.org