Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Yuan-Lin Hsu, Shih-Kuei Lin, Ming-Chin Hung, Tzu-Hui Huang
| Year of publication: |
April 2016
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|---|---|
| Authors: | Hsu, Yuan-Lin ; Lin, Shih-kuei ; Hung, Ming-Chin ; Huang, Tzu-Hui |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 54.2016, p. 260-275
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| Subject: | Markov regime-switching model | Volatility clustering | Jump risks | Stock index | Volatilität | Volatility | Markov-Kette | Markov chain | Aktienindex | Theorie | Theory | Börsenkurs | Share price | Risiko | Risk | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.11.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011642172