Cross-country performance of Lévy regime-switching models for stock markets
Julien Chevallier and Stéphane Goutte
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Chevallier, Julien ; Goutte, Stéphane |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 2, p. 111-137
|
| Subject: | Cross-country | Lévy process | Markov-switching model | equity markets | Americas | Asia | Europe | Aktienmarkt | Stock market | Markov-Kette | Markov chain | Asien | Volatilität | Volatility | Europa | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2016.1192275 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011810520