A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
Zhongjun Qu and Pierre Perron
| Year of publication: |
2013
|
|---|---|
| Authors: | Qu, Zhongjun ; Perron, Pierre |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 16.2013, 3, p. 309-339
|
| Subject: | Long-memory | Low-frequency volatility | State-space models | Structural change | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Strukturwandel | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010253639