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Author Veiga, Helena
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Return Series ♦ Squared Return ♦ Different Asymmetric Stochastic Volatility Model ♦ Important Model Characteristic ♦ Long Memory ♦ Monte Carlo Experiment ♦ Volatility Persistence ♦ Absolute Financial Return ♦ Sample Taylor-effect ♦ Possible Bias ♦ Dow Jones ♦ Taylor-effect Relates ♦ Empirical Property
Abstract According to the Taylor-Effect the autocorrelations of absolute financial returns are higher than the ones of squared returns. In this work, we analyze this empirical property for three different asymmetric stochastic volatility models, with short and/or long memory. Specially, we investigate how the Taylor-Effect relates to the most important model characteristics: its asymmetry and its capacity to generate volatility persistence and kurtosis. Finally, we realize Monte Carlo experiments to infer about possible biases of the sample Taylor-Effect and fit the models to the return series of the Dow Jones.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Publisher Date 2007-01-01