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Are feedback factors important in modelling financial data?

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorVeiga, Helena
dc.date.accessioned2006-11-09T10:58:07Z
dc.date.available2006-11-09T10:58:07Z
dc.date.issued2006-01
dc.description.abstractThis paper provides empirical evidence that continuous time models with one factor of volatility are, in some circumstances, able to fit the main characteristics of financial data and reports insights about the importance of introducing feedback factors for capturing the strong persistence caused by the presence of changes in the variance. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate and to select among logarithmic models with one and two stochastic volatility factors (with and without feedback).
dc.format.extent422619 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws060101
dc.identifier.urihttp://hdl.handle.net/10016/232
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries2006-01
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.titleAre feedback factors important in modelling financial data?
dc.typeworking paper*
dspace.entity.typePublication
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