RT Generic
T1 Are feedback factors important in modelling financial data?
A1 Veiga, Helena
AB 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).
YR 2006
FD 2006-01
LK http://hdl.handle.net/10016/232
UL http://hdl.handle.net/10016/232
LA eng
LA eng
DS e-Archivo
RD 30 abr. 2024