Detalle Publicación

ARTÍCULO
Measuring volatility persistence in leveraged loan markets in the presence of structural breaks
Autores: Abakah, E. J. A.; Gil Alaña, Luis Alberiko (Autor de correspondencia); Arthur, E. K. ; Tiwari, A. K.
Título de la revista: INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN: 1059-0560
Volumen: 78
Páginas: 141 - 152
Fecha de publicación: 2022
Lugar: WOS
Resumen:
This paper examines volatility persistence in leverage loan market price series for Australia, Canada, Europe, Japan, Singapore, UK and USA in the presence of structural breaks. To the best of our knowledge, this is the first empirical study to examine volatility persistence in the leveraged loan markets. To this end, using fractional integration methods, the results indicate that both absolute and squared returns display long memory features, with orders of integration confirming the long memory hypothesis. However, after accounting for structural breaks, we find a reduction in the degree of persistence in the leveraged loan market. The evidence of persistence in volatility implies that market participants who want to make gains across trading scales need to factor the persistence properties of leveraged loan price series in their valuation and forecasting models since that will help improve long-term volatility market forecasts and optimal hedging decisions.