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Small sample properties of GARCH estimates and persistence
Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494
Persistent link: https://www.econbiz.de/10003382813
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How persistent is stock return volatility? : an answer with Markov regime switching stochastic volatility models
Hwang, Soosung; Satchell, Stephen; Pereira, Pedro L. Valls - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 1002-1024
Persistent link: https://www.econbiz.de/10003507264
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The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2009
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014214849
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The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models
Hwang, Soosung; Valls Pereira, Pedro L. - 2004
We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...
Persistent link: https://www.econbiz.de/10014068444
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Modelos de volatilidade estocástica com deformação temporal : um estudo empírico para o índice Ibovespa
Ziegelmann, Flávio A. - In: Pesquisa e planejamento econômico : PPE 27 (1997) 2, pp. 353-375
Persistent link: https://www.econbiz.de/10001240326
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Alternative models to extract asset volatility: a comparative study
Pereira, Pedro L. Valls (contributor) - In: Revista de econometria 19 (1999) 1, pp. 57-109
Persistent link: https://www.econbiz.de/10001609694
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Speculative Bubbles and Contagion : Analysis of Volatility's Clusters During the Dotcom Bubble Based on the Dynamic Conditional Correlation Model
Herwarth Kohn, Maximilian-Benedikt - 2017
Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the...
Persistent link: https://www.econbiz.de/10012951740
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Analysis of the volatility's dependency structure during the subprime crisis
Arruda, Bruno P.; Pereira, Pedro L. Valls - In: Applied economics 45 (2013) 34/36, pp. 5031-5045
Persistent link: https://www.econbiz.de/10010225760
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Modeling and forecasting realized volatility : evidence from Brazil
Wink Junior, Marcos Vinicio; Pereira, Pedro L. Valls - In: Brazilian review of econometrics : BRE ; the review of … 31 (2011) 2, pp. 315-337
Persistent link: https://www.econbiz.de/10010402885
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Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model
Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28
Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...
Persistent link: https://www.econbiz.de/10011887512