Amado, Cristina; Terasvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2012
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Teräsvirta...