Studies on break detection in financial time series volatility
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...
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| Άλλοι συγγραφείς: | |
| Μορφή: | Thesis |
| Γλώσσα: | English |
| Έκδοση: |
2017
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| Θέματα: | |
| Διαθέσιμο Online: | http://hdl.handle.net/10889/10011 |
