Spurious persistence in stochastic volatility
AbstractWe show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 121 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Persistence; Stochastic volatility; Structural change;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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