How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

Pedro Valls Pereira

Finance Lab Working Papers from Finance Lab, Insper Instituto de Ensino e Pesquisa

Date: 2004-10
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.ibmecsp.edu.br/pesquisa/download.php?recid=2734 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.ibmecsp.edu.br:80 (This is usually a temporary error during hostname resolution and means that the local server did not receive a response from an authoritative server. )

Related works:
Working Paper: How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ibm:finlab:flwp_59

Access Statistics for this paper

More papers in Finance Lab Working Papers from Finance Lab, Insper Instituto de Ensino e Pesquisa
Bibliographic data for series maintained by Naercio Menezes ().