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Long Memory and Structural Breaks in Extreme Value Estimators - The Case of the U.S. Stock Indexes -

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보험연구원 (Korea Insurance Research Institute)|2010.03|보험금융연구 (Journal of Insurance and Finance)|제21권 제1호|pp. 187-237

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참고문헌

키워드

구조변화변동성Volatility장기기억Structural BreaksLong MemoryExtreme Value Estimators극단값 변동성 측정치
주제분류경영학

초록

With numerous studies reporting long memory in financial volatilities, long memory became one of the stylized facts of volatility time series. Several researchers, however, including Granger and Hyung (2004) and Choi and Zivot(2007), argue that the long memory property of financial volatilities may be amplified by occasional structural breaks. This paper investigates the validity of the previous studies - whether long memory in extreme value estimators is overstated by structural breaks. I find an evidence that the degree of long memory in the extreme value estimators is inflated by structural breaks. I also find, however, that significant long memory is still discovered in the extreme value estimators even after the multiple breaks are controlled in the estimation.

Abstract

With numerous studies reporting long memory in financial volatilities, long memory became one of the stylized facts of volatility time series. Several researchers, however, including Granger and Hyung (2004) and Choi and Zivot(2007), argue that the long memory property of financial volatilities may be amplified by occasional structural breaks. This paper investigates the validity of the previous studies - whether long memory in extreme value estimators is overstated by structural breaks. I find an evidence that the degree of long memory in the extreme value estimators is inflated by structural breaks. I also find, however, that significant long memory is still discovered in the extreme value estimators even after the multiple breaks are controlled in the estimation.

참고문헌 (43)

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