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Persistent link: https://www.econbiz.de/10011954453
We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...
Persistent link: https://www.econbiz.de/10012895741
Persistent link: https://www.econbiz.de/10012225756
The historical analysis of US regional growth is improved by augmenting existing estimates of state personal income per capita, extending previous studies of convergence across states, and more broadly, offering an improved basis for interpreting other issues in regional development such as the...
Persistent link: https://www.econbiz.de/10008552893
Long memory in the volatility of individual return series and in the volatility of equal-weighted portfolios constituted by the individual return series is analyzed to see if the memory characteristic of the volatility representation is correlated with the portfolio characteristics of size,...
Persistent link: https://www.econbiz.de/10008552903
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