|
| << previous | next >> |
Journal description
All volumes of the corresponding journal
All issues of the corresponding volume
All articles of the corresponding issues
Details for article 114 of 194 found articles
| Title: |
Modelling the structural break in volatility |
| Author: |
Kholodilin, Konstantin A. Yao, Vincent Wenxiong |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 13 (2006) nr. 7 pages 417-422 |
| Year: |
2006-06-10 |
| Contents: |
Recent studies suggest that US and other developed economies have become considerably stabilized in terms of volatility since the mid-1980s (Stock and Watson, 2002). This study models the structural break in volatility using a dynamic factor model with two state variables: one capturing cyclical fluctuations and another reflecting volatility decline. The new model confirms a one-time volatility reduction in the US economy in February 1984. Four-regime models appear to outperform two-regime models. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 114 of 194 found articles
| << previous | next >> |