Are There Multiple Regimes in Financial Volatility?
| Year of publication: |
2002-07-01
|
|---|---|
| Authors: | Medeiros, Marcelo C. ; Veiga, Alvaro |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Volatility | GARCH | multiple regimes | nonlinear time series | smooth transition | finance |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 311 |
| Classification: | C13 - Estimation ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
| Source: |
Persistent link: https://www.econbiz.de/10005537659