کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5054981 1371480 2012 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Common persistence in conditional variance: A reconsideration
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Common persistence in conditional variance: A reconsideration
چکیده انگلیسی

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.

► We demonstrate the four flaws of co-persistence theory ► We introduce the half life of decay coefficient as the measure of persistence ► We propose both the weak definition of persistence and co-persistence ► We overcome the flaws by using exhaustive search algorithm

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 29, Issue 5, September 2012, Pages 1809-1819
نویسندگان
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