They are grateful for valuable comments from conference participants at the Australasian Meeting of the Econometric Society and an anonymous referee.
How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models
Article first published online: 15 JUN 2007
Journal of Business Finance & Accounting
Volume 34, Issue 5-6, pages 1002–1024, June/July 2007
How to Cite
Hwang, S., Satchell, S. E. and Valls Pereira, P. L. (2007), How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models. Journal of Business Finance & Accounting, 34: 1002–1024. doi: 10.1111/j.1468-5957.2007.02025.x
- Issue published online: 15 JUN 2007
- Article first published online: 15 JUN 2007
- (Paper received March 2005, revised version accepted November 2006. Online publication June 2007)
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