A Semi-Markov Approach to Modeling Volatility Dynamics.

This paper proposes a new approach to modeling volatility changes and clustering, we use a parsimonious high-order markov chain which allows for duration dependence.

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Year of publication:	1999
Authors:	Maheu, J.M. ; McCurdy, T.H.
Institutions:	Rotman School of Management, University of Toronto
Subject:	RISK \| FORECASTS

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Series:	Rotman School of Management - Finance.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005478561