Kholodilin, Konstantin; Yao, Vincent Wenxiong - In: Applied Economics Letters 13 (2006) 7, pp. 417-422
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...