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Search: subject:"Variance Persistency"
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Asymmetric GARCH
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Leverage Effect
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Structural Break Points
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Variance Persistency
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Muhammad, Altaf
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Shuguang, Zhang
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Romanian Statistical Review
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Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets
Muhammad, Altaf
;
Shuguang, Zhang
- In:
Romanian Statistical Review
63
(
2015
)
1
,
pp. 57-70
In this study we examined the effect of structural break points in conditional volatility on
variance
persistency
of …
Persistent link: https://www.econbiz.de/10011265056
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