A Semi-Markov Approach to Modeling Volatility Dynamics
AbstractThis 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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Bibliographic InfoPaper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-004.
Length: 30 pages
Date of creation: 1999
Date of revision:
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Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Web page: http://www.rotman.utoronto.ca/
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