Year: 2011
Type: preprint
Abstract: This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.
Source: arXiv (Cornell University)
Author: Li, Chang-Shuai
Institution: University of Shanghai for Science and Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2952801766