Today, 7620 documents
in our database
 

FinWatcher in brief

Our partners



Agefi


b3b - L'actualité Banque & Web



       Posted on July 18th, 2010

Modeling structural changes in the volatility process

GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short periods of time. However, for example macroeconomic events may cause the structure of volatility to change and the assumption of stationarity is no longer plausible. In order to deal with this issue, the current paper proposes [...]


1 pages