Studies on break detection in financial time series volatility

• Main Author: Χατζηκωνσταντή, Βασιλική
• Other Authors: Βενέτης, Ιωάννης
• Format: Thesis
• Language: English
• Published: 2017
• Subjects: Breaks; Volatility; Persistence; Long memory; Outliers; GARCH; Stock markets; Διαρθρωτικές μεταβολές; Αστάθεια; Εμμονή; Μακροχρόνια μνήμη; Ακραίες τιμές; Υποδείγματα GARCH; Χρηματαγορές

The aim of this thesis is to provide an econometric analysis on volatility dynamics by examining the implications of structural changes. Specifically, it analyses how the existence of structural changes may influence the volatility persistence and/or long memory in financial time series. In the sec...