Arbeitspapier
Stochastic volatility driven by large shocks
This paper presents a new model of stochastic volatility which allows for infrequent shifts in the mean of volatility, known as structural breaks. These are endogenously driven from large innovations in stock returns arriving in the market. The model has a number of interesting properties. Among them, it can allow for shifts in volatility which are of stochastic timing and magnitude. This model can be used to distinguish permanent shifts in volatility coming from large pieces of news arriving in the market, from ordinary volatility shocks.
- Sprache
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Englisch
- Erschienen in
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Series: Working Paper ; No. 568
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistical Simulation Methods: General
- Thema
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Stochastic volatility, Structural breaks
- Ereignis
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Geistige Schöpfung
- (wer)
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Kapetanios, George
Tzavalis, Elias
- Ereignis
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Veröffentlichung
- (wer)
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Queen Mary University of London, Department of Economics
- (wo)
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London
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:20 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Tzavalis, Elias
- Queen Mary University of London, Department of Economics
Entstanden
- 2006