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The sign of asymmetry and the Taylor Effect in stochastic volatility models

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorVeiga, Helena
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2007-02-21T12:15:53Z
dc.date.available2007-02-21T12:15:53Z
dc.date.issued2007-02
dc.description.abstractAccording to the Taylor-Effect the autocorrelations of absolute financial returns are higher than the ones of squared returns. In this work, we analyze this empirical property for three different asymmetric stochastic volatility models, with short and/or long memory. Specially, we investigate how the Taylor-Effect relates to the most important model characteristics: its asymmetry and its capacity to generate volatility persistence and kurtosis. Finally, we realize Monte Carlo experiments to infer about possible biases of the sample Taylor-Effect and fit the models to the return series of the Dow Jones.
dc.format.extent162123 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecws070702
dc.identifier.urihttps://hdl.handle.net/10016/625
dc.language.isospa
dc.language.isospa
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries2007-02
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherAsymmetry
dc.subject.otherKurtosis
dc.subject.otherLong and short memory
dc.subject.otherTaylor-Effect
dc.titleThe sign of asymmetry and the Taylor Effect in stochastic volatility models
dc.typeworking paper*
dspace.entity.typePublication
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