Structural Change and Spurious Persistence in Stochastic Volatility
Year of publication: |
2012-01
|
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Authors: | Krämer, Walter ; Mess, Philip |
Institutions: | Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) |
Subject: | Persistence | stochastic volatility | structural change |
Extent: | application/pdf |
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Series: | Ruhr Economic Papers. - ISSN 1864-4872. |
Type of publication: | Book / Working Paper |
Notes: | Number 0310 11 pages |
Classification: | C32 - Time-Series Models ; c58 |
Source: |
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Structural Change and Spurious Persistence in Stochastic Volatility
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