Are There Multiple Regimes in Financial Volatility?

Marcelo Medeiros () and Alvaro Veiga

No 311, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Volatility; GARCH; multiple regimes; nonlinear time series; smooth transition; finance (search for similar items in EconPapers)
JEL-codes: C13 C22 C51 (search for similar items in EconPapers)
Date: 2002-07-01
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Citations: View citations in EconPapers (1)

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