Are feedback factors important in modelling financial data?

dc.contributor.author	Veiga, Helena
dc.date.accessioned	2006-11-09T10:58:07Z
dc.date.available	2006-11-09T10:58:07Z
dc.date.issued	2006-01
dc.identifier.uri	http://hdl.handle.net/10016/232
dc.description.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).
dc.format.extent	422619 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries	2006-01
dc.title	Are feedback factors important in modelling financial data?
dc.type	workingPaper
dc.subject.eciencia	Estadística
dc.rights.accessRights	openAccess
dc.identifier.repec	ws060101
dc.affiliation.dpto	UC3M. Departamento de Estadística