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
Englisch

Erschienen in
Series: Working Paper ; No. 568

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistical Simulation Methods: General
Thema
Stochastic volatility, Structural breaks

Ereignis
Geistige Schöpfung
(wer)
Kapetanios, George
Tzavalis, Elias
Ereignis
Veröffentlichung
(wer)
Queen Mary University of London, Department of Economics
(wo)
London
(wann)
2006

Handle
Letzte Aktualisierung
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

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