A Semi-Markov Approach to Modeling Volatility Dynamics

John Maheu and Thomas McCurdy

Rotman School of Management - Finance from Rotman School of Management, University of Toronto

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.

Keywords: RISK; FORECASTS (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:rotfin:99-004

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