Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/25121
Título: | Modelling volatility by variance decomposition |
Autor(es): | Amado, Cristina Teräsvirta, Timo |
Palavras-chave: | Conditional heteroskedasticity Nonlinear time series Maximum likelihood estimation Iterative algorithm Time-varying parameter model |
Data: | 2013 |
Editora: | Elsevier 1 |
Revista: | Journal of econometrics |
Resumo(s): | In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based on additive and multiplicative decompositions of the variance. They allow the variance of the model to have a smooth time-varying structure. The suggested parameterizations describe structural change in the conditional and unconditional variances where the transition between regimes over time is smooth. The main focus is on the multiplicative decomposition of the variance into an unconditional and conditional components. Estimation of the multiplicative model is discussed in detail. An empirical application to daily stock returns illustrates the functioning of the model. The results show that the ‘long memory type behaviour’ of the sample autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/25121 |
DOI: | 10.1016/j.jeconom.2013.03.006 |
ISSN: | 0304-4076 |
Versão da editora: | http://www.sciencedirect.com/science/article/pii/S030440761300064X# |
Arbitragem científica: | yes |
Acesso: | Acesso restrito UMinho |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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CAmado_Modelling volatility by variance decomposition.pdf Acesso restrito! | Modelling volatility by variance decomposition | 6,46 MB | Adobe PDF | Ver/Abrir |