A stochastic volatility model with random level shifts and its applications to S\&P 500 and NASDAQ return indices

DOI10.1111/J.1368-423X.2012.00394.XMaRDI QIDQ5093213zbMATH OpenOpenAlexFDO

Authors Zhongjun Qu, Pierre Perron

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2012.00394.x

zbMATH Keywords

long-memorylow-frequency volatilitystate-space modelsstructural change

Mathematics Subject Classification ID

Statistics (62-XX)

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