Cordis, Adriana S.; Kirby, Chris - In: Journal of Banking & Finance 43 (2014) C, pp. 160-178
We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence. Moreover, it...