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

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dc.contributor.author Veiga, Helena
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2007-02-21T12:15:53Z
dc.date.available 2007-02-21T12:15:53Z
dc.date.issued 2007-02
dc.identifier.uri http://hdl.handle.net/10016/625
dc.description.abstract According 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.extent 162123 bytes
dc.format.mimetype application/pdf
dc.language.iso spa
dc.language.iso spa
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 2007-02
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Asymmetry
dc.subject.other Kurtosis
dc.subject.other Long and short memory
dc.subject.other Taylor-Effect
dc.title The sign of asymmetry and the Taylor Effect in stochastic volatility models
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws070702
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