A Stochastic Volatility Model with Random Level Shifts : Theory and Applications to S & P 500 and NASDAQ Return Indices

@inproceedings{Qu2007ASV,
  title={A Stochastic Volatility Model with Random Level Shifts : Theory and Applications to S & P 500 and NASDAQ Return Indices},
  author={Zhongjun Qu},
  year={2007}
}
Empirical …ndings related to the time series properties of stock returns volatility indicate autocorrelations that decay slowly at long lags. In light of this, several longmemory models have been proposed. However, the possibility of level shifts has been advanced as a possible explanation for the appearance of long-memory and there is growing evidence suggesting that it may be an important feature of stock returns volatility. Nevertheless, it remains a conjecture that a model incorporating… CONTINUE READING

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