کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054981 | 1371480 | 2012 | 11 صفحه PDF | دانلود رایگان |

This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.
⺠We demonstrate the four flaws of co-persistence theory ⺠We introduce the half life of decay coefficient as the measure of persistence ⺠We propose both the weak definition of persistence and co-persistence ⺠We overcome the flaws by using exhaustive search algorithm
Journal: Economic Modelling - Volume 29, Issue 5, September 2012, Pages 1809-1819