Common persistence in conditional variance: A reconsideration
This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.
Year of publication: |
2011-12
|
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Authors: | Li, Chang-Shuai |
Institutions: | arXiv.org |
Saved in:
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