APPLICATION OF A SHORT MEMORY MODEL WITH RANDOM LEVEL SHIFTS TO THE VOLATILITY OF LATIN AMERICAN STOCK MARKET RETURNS
Empirical research indicates that the volatility of stock return time series has long memory. However, it has been demonstrated that short memory processes contaminated by random level shifts can often be confused with long memory, a feature often referred to as spurious long memory. This paper repr...
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| Autores principales: | , |
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| Lenguaje: | English |
| Publicado: |
Pontificia Universidad Católica de Chile. Instituto de Economía.
2015
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| Materias: | |
| Acceso en línea: | http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0719-04332015000200003 |
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