Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the mean and volatility dynamics, including the unde...

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Veröffentlicht in:	arXiv.org 2014-03
Hauptverfasser:	Karanasos, Menelaos, Paraskevopoulos, Alexandros, Faek Menla Ali, Karoglou, Michail, Yfanti, Stavroula
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Bivariate analysis Covariance Economic models Markets Regression analysis Stochastic models Volatility
Online-Zugang:	Volltext
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