Change point dynamics for financial data : an indexed Markov chain approach
Guglielmo D'Amico, Ada Lika, Filippo Petroni
| Year of publication: |
2019
|
|---|---|
| Authors: | D'Amico, Guglielmo ; Lika, Ada ; Petroni, Filippo |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 2, p. 247-266
|
| Subject: | Change point | Financial returns | Intra-day prices | Volatility | Volatilität | Markov-Kette | Markov chain | Finanzmarkt | Financial market | Theorie | Theory | Kapitaleinkommen | Capital income | Aktienindex | Stock index | Börsenkurs | Share price | Schätzung | Estimation | Prognoseverfahren | Forecasting model |