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...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2014
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| Texto completo: | http://hdl.handle.net/1822/30337 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/30337 |