Forecasting hedge fund volatility : a Markov regime-switching approach
Year of publication: |
2013
|
---|---|
Authors: | Blazsek, Szabolcs ; Downarowicz, Anna |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 19.2013, 3/4, p. 243-275
|
Subject: | hedge fund (HF) risk | Markov switching (MS) model | volatility forecasting | Volatilität | Volatility | Hedgefonds | Hedge fund | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Hedging | ARCH-Modell | ARCH model | Risiko | Risk | Portfolio-Management | Portfolio selection |
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