A new approach to volatility modeling : the high-dimensional Markov Model

Maciej Augustyniak, Luc Bauwens and Arnaud Dufays

Year of publication:	[2016]
Authors:	Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud
Publisher:	[Louvain-la-Neuve] : CORE
Subject:	Volatility \| Markov-switching \| Persistence \| Leverage effect \| Volatilität \| Markov-Kette \| Markov chain \| Schätzung \| Estimation \| Theorie \| Theory \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis

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