Modelling changes in the unconditional variance of long stock return series
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long daily return series. For this purpose we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta (201...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | article |
| Language: | eng |
| Published: |
2014
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1822/30337 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/30337 |