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A Simple Regime-Switching Model for Stochastic Volatilities

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  • Christopeit, Norbert
  • Axel Cron
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    Abstract

    In this paper, a simple Markov switching model for the volatility of financial returns is presented. We discuss a moment estimation procedure and develop forecasts for future squared volatilities.

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    File URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb406.pdf
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    Bibliographic Info

    Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 406.

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    Length: pages
    Date of creation: Jul 1997
    Date of revision:
    Handle: RePEc:bon:bonsfb:406

    Contact details of provider:
    Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
    Fax: +49 228 73 6884
    Web page: http://www.bgse.uni-bonn.de

    Related research

    Keywords: Stochastic volatilities; Markov regime switching; Moment estimatior.;

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    1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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