A new approach to volatility modeling : the factorial hidden Markov volatility model
Maciej Augustyniak, Luc Bauwens, Arnaud Dufays
| Year of publication: |
2019
|
|---|---|
| Authors: | Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud |
| Subject: | Persistence | Hierarchical hidden Markov model | Leverage effect | Markov-switching | Volatility. | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2017.1415910 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012179366