Výrost, Tomáš; Baumöhl, Eduard; Lyócsa, Štefan - Volkswirtschaftliche Fakultät, … - 2011
In this article, we contribute to the discussion of volatility persistence in the presence of sudden changes. We follow …), which lead us to the hypothesis that the estimated persistence in volatility depends inversely on the number of breakpoints … in volatility. We explored this claim through a simulation study, where by randomizing an increasing number of …