Kang, Sang Hoon; Cho, Hwan-Gue; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3543-3550
In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in … also demonstrated that controlling sudden changes effectively reduces the persistence of volatility or long memory and that … incorporating information regarding sudden changes in variance improves the accuracy of estimating volatility dynamics and …