A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

DOI10.1111/j.1368-423X.2012.00394.xOpenAlexW3122719920MaRDI QIDQ5093213

Zhongjun Qu, Pierre Perron

Publication date: 26 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2012.00394.x

zbMATH Keywords

state-space modelsstructural changelong-memorylow-frequency volatility

Mathematics Subject Classification ID

Statistics (62-XX)

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