RT Generic
T1 Stochastic volatility models and the Taylor effect
A1 Mora Galán, Alberto
A1 Pérez, Ana
A1 Ruiz Ortega, Esther
A2 Universidad Carlos III de Madrid, 
AB It has been often empirically observed that the sample autocorrelations of absolute financial returns are larger than those of squared returns. This property, know as Taylor effect, is analysed in this paper in the Stochastic Volatility (SV) model framework. We show that the stationary autoregressive SV model is able to generate this property for realistic parameter specifications. On the other hand, the Taylor effect is shown not to be a sampling phenomena due to estimation biases of the sample autocorrelations. Therefore, financial models that aims to explain the behaviour of financial returns should take account of this property.
YR 2004
FD 2004-11
LK https://hdl.handle.net/10016/218
UL https://hdl.handle.net/10016/218
LA eng
DS e-Archivo
RD 27 jul. 2024