Level changes in volatility models

DOI10.1007/S10436-010-0163-5MaRDI QIDQ470520zbMATH OpenOpenAlexFDO

Authors Mihaela Craioveanu, Eric Hillebrand

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-010-0163-5

zbMATH Keywords

ARMAGARCHrealized volatilitypersistencestochastic volatilityVARHAR-RVlevel shifts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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Cites work

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Cited in

(5)

• Shifts in volatility driven by large stock market shocks
• Analysis of time series with multiple shifts of levels and volatilities
• GARCH with omitted persistent covariate
• A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
• Spurious persistence in stochastic volatility

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