Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62849 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Working Paper No. 568
Verlag: 
Queen Mary University of London, Department of Economics, London
Zusammenfassung: 
This paper presents a new model of stochastic volatility which allows for infrequent shifts in the mean of volatility, known as structural breaks. These are endogenously driven from large innovations in stock returns arriving in the market. The model has a number of interesting properties. Among them, it can allow for shifts in volatility which are of stochastic timing and magnitude. This model can be used to distinguish permanent shifts in volatility coming from large pieces of news arriving in the market, from ordinary volatility shocks.
Schlagwörter: 
Stochastic volatility, Structural breaks
JEL: 
C22
C15
Dokumentart: 
Working Paper

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