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A Semi-Markov Approach to Modeling Volatility Dynamics

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Author Info
Maheu, J.M.
McCurdy, T.H.

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Abstract

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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Publisher Info
Paper provided by Rotman School of Management, University of Toronto in its series Rotman School of Management - Finance with number 99-004.

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Length: 30 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:rotfin:99-004

Contact details of provider:
Postal: Rotman School of Management. 105 St. George Street. Toronto, Ontario. Canada M5S 3E6
Phone: 416.978.3499
Web page: http://www.mgmt.utoronto.ca/
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Related research
Keywords: RISK ; FORECASTS;

Find related papers by JEL classification:
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

Statistics
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This page was last updated on 2009-11-20.

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