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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/232
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Files in This Item:
| ws060101.pdf | -- 2006-11-09 -- Available on Internet -- preprint | 412,71 kB | Adobe PDF | |  |
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| Title: | Are feedback factors important in modelling financial data? |
| Author(s): | Veiga, Helena |
| Issued date: | Jan-2006 |
| URI: | http://hdl.handle.net/10016/232 |
| Abstract: | This 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). |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
2006-01 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
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