How persistent is stock return aolatility? An answer with Markov regime switching stochastic volatility models

Journal of Business Finance and Accounting

Volumn 34, Issue 5-6, 2007, Pages 1002-1024

  Hwang, Soosung ^a   Satchell, Steve E ^b   Valls Pereira, Pedro L ^c  

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c IBMEC Business School   (Brazil)

Author keywords

Forecasting; Markov switching; Persistence; Stochastic volatility

Indexed keywords

EID: 34547301186     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.1468-5957.2007.02025.x     Document Type: Article

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