RT Generic
T1 The sign of asymmetry and the Taylor Effect in stochastic volatility models
A1 Veiga, Helena
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB According to the Taylor-Effect the autocorrelations of absolute financial returns are higher thanthe ones of squared returns. In this work, we analyze this empirical property for three differentasymmetric stochastic volatility models, with short and/or long memory. Specially, we investigatehow the Taylor-Effect relates to the most important model characteristics: its asymmetry and itscapacity to generate volatility persistence and kurtosis. Finally, we realize Monte Carloexperiments to infer about possible biases of the sample Taylor-Effect and fit the models to thereturn series of the Dow Jones.
YR 2007
FD 2007-02
LK https://hdl.handle.net/10016/625
UL https://hdl.handle.net/10016/625
LA spa
LA spa
DS e-Archivo
RD 1 may. 2024