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• W2059339978 abstract "We propose a stochastic volatility model where the conditional variance of asset returns switches across a potentially large number of discrete levels, and the dynamics of the switches are driven by a latent Markov chain. A simple parameterization overcomes the commonly encountered problem in Markov-switching models that the number of parameters becomes unmanageable when the number of states in the Markov chain increases. This framework presents some interesting features in modelling the persistence of volatility, and that, far from being constraining in data fitting, it performs comparably well as other popular approaches in forecasting short-term volatility." @default.
• W2059339978 created "2016-06-24" @default.
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• W2059339978 date "2006-03-01" @default.
• W2059339978 modified "2023-10-16" @default.
• W2059339978 title "Volatility estimation via hidden Markov models" @default.
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• W2059339978 doi "https://doi.org/10.1016/j.jempfin.2005.09.003" @default.
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