Discrete stochastic autoregressive volatility
Adriana S. Cordis; Chris Kirby
| Year of publication: |
2014
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|---|---|
| Authors: | Cordis, Adriana S. ; Kirby, Chris |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 43.2014, p. 160-178
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| Subject: | Markov chain | Time-varying transition probabilities | Discrete autoregressive model | Stochastic volatility | Realized volatility | Volatilität | Volatility | Markov-Kette | Stochastischer Prozess | Stochastic process | Theorie | Theory | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Wahrscheinlichkeitsrechnung | Probability theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010410013