A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Adán Díaz-Hernández, Nick Constantinou
| Year of publication: |
2019
|
|---|---|
| Authors: | Díaz-Hernández, Adán ; Constantinou, Nick |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 162-180
|
| Subject: | GARCH | Option valuation | Regime-switching | Risk measurement | Volatility forecast | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Risiko | Risk | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012171628