Non-Stationary Variance and Volatility Causality

This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causality in the case of the US and the three developed Asian stock markets Japan, Hong Kong and Singapore. Daily data are used for the period May 30th 2002 until June 29th 2010

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Year of publication:	2014
Authors:	Bensafta, Malik Kamel
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Kausalanalyse \| Causality analysis \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Bulletin, Vol. 30, No.4, pp. 2920-2935, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 8, 2010 erstellt Volltext nicht verfügbar
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013068991