Template-Type:ReDIF-Paper 1.0  
Title: A Simple Regime-Switching Model for Stochastic Volatilities
Author-Name: Christopeit, Norbert
Author-Name: Axel Cron
Classification-JEL:C52, C53
Keywords: Stochastic volatilities, Markov regime switching, Moment estimatior.
Abstract: In this paper, a simple Markov switching model for the volatility of financial returns is presented. We
	discuss a moment estimation procedure and develop forecasts for future squared volatilities.
Length: pages
Creation-Date: 1997-07
Revision-Date: 
Handle: RePEc:bon:bonsfb:406
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb406.pdf
File-Format: application/pdf
File-Size:288246 bytes