uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …