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| Author: | Kim, D. Kon, S. J. |
| Title: | Structural change and time dependence in models of stock returns |
| Journal: | Journal of Empirical Finance
1999 : SEP, VOL. 6:3, p. 283-308 |
| Index terms: | Structural change Stock markets Models |
| Language: | eng |
| Abstract: | In this paper, evidence is provided that the time-series properties of stock returns include both structural change and time dependence in the conditional variance. The absence of a structural change component tends to overstate the persistence parameter in a time-dependent model specification. |
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