A new approach to volatility modeling : the factorial hidden Markov volatility model
Maciej Augustyniak, Luc Bauwens, Arnaud Dufays
| Year of publication: |
2019
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| Authors: | Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 37.2019, 4, p. 696-709
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| 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 |
| 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