Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications

DOI10.1098/rsta.1999.0417zbMath0963.91061OpenAlexW2143182109MaRDI QIDQ4719407

S. James Taylor

Publication date: 27 June 2001

Published in: Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1999.0417

zbMATH Keywords

stochastic volatilityMarkov chainmixture distributionsconditional state probabilitiesforeign exchange volatilityLeptokurtic return distributions

Mathematics Subject Classification ID

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