Level changes in volatility models
DOI10.1007/S10436-010-0163-5zbMATH Open1298.91191OpenAlexW1972094427MaRDI QIDQ470520FDOQ470520
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
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Cited In (5)
- Spurious persistence in stochastic volatility
- A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices
- Analysis of time series with multiple shifts of levels and volatilities
- Shifts in volatility driven by large stock market shocks
- GARCH with omitted persistent covariate
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