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A Semi-Markov Approach to Modeling Volatility...
Scholarly edition
A Semi-Markov Approach to Modeling Volatility Dynamics.
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.
Authors
Maheu JM; McCurdy TH
Publication Date
January 1, 1999
Associated Experts
John Maheu
Professor, DeGroote School of Business
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