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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|Date of creation:||1999|
|Date of revision:|
|Contact details of provider:|| 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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