Non-stationary Variance and Volatility Causality

被引：0
|
作者：
Bensafta, Kamel Malik [1 ]
机构：
[1] Univ Tours, GERCIE, Tours, France
来源：
ECONOMICS BULLETIN | 2010年 / 30卷 / 04期
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causality in the case of the US and the three developed Asian stock markets Japan, Hong Kong and Singapore. Daily data are used for the period May 30th 2002 until June 29th 2010.
引用
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页码：2920 / 2935
页数：16
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