Are Feedback Factors Important in Modeling Financial Data?
This paper provides empirical evidence that continuous time models with one factor of volatility are, under some circumstances, able to fit the main characteristics of financial data and reports insights about the importance of introducing feedback factors to capture the strong persistence caused by the presence of changes in the variance. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them. Copyright (c) International Review of Finance Ltd. 2007.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 7 (2007)
Issue (Month): 3-4 ()
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=1369-412X|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003.
"Alternative models for stock price dynamics,"
Journal of Econometrics,
Elsevier, vol. 116(1-2), pages 225-257.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
- Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
- Clive W.J. Granger & Namwon Hyung, 2013.
"Occasional Structural Breaks and Long Memory,"
Annals of Economics and Finance,
Society for AEF, vol. 14(2), pages 739-764, November.
- Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.
- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 131-159, November.
- Gallant, A. Ronald & Tauchen, George, 1996.
"Which Moments to Match?,"
Cambridge University Press, vol. 12(04), pages 657-681, October.
- Yacine Ait-Sahalia, 1995.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
NBER Working Papers
5345, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May.
- Elena Andreou & Eric Ghysels, 2001.
"Detecting Mutiple Breaks in Financial Market Volatility Dynamics,"
CIRANO Working Papers
- Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
- Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
- repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
- Coppejans, Mark & Gallant, A. Ronald, 2002.
"Cross-validated SNP density estimates,"
Journal of Econometrics,
Elsevier, vol. 110(1), pages 27-65, September.
- Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.
- Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
- Beine, Michel & Laurent, Sebastien, 2003.
"Central bank interventions and jumps in double long memory models of daily exchange rates,"
Journal of Empirical Finance,
Elsevier, vol. 10(5), pages 641-660, December.
- Michel Beine & Sébastien Laurent, 2003. "Central Bank interventions and jumps in double long memory models of daily exchange rates," ULB Institutional Repository 2013/10435, ULB -- Universite Libre de Bruxelles.
- BEINE, Michel & LAURENT, Sébastien, . "Central bank interventions and jumps in double long memory models of daily exchange rates," CORE Discussion Papers RP -1706, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
When requesting a correction, please mention this item's handle: RePEc:bla:irvfin:v:7:y:2007:i:3-4:p:105-118. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.