Forecasting hedge fund volatility : a Markov regime-switching approach
Szabolcs Blazsek and Anna Downarowicz
| 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
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| Subject: | hedge fund (HF) risk | Markov switching (MS) model | volatility forecasting | Volatilität | Volatility | Hedgefonds | Hedge fund | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| 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://ebvufind01.dmz1.zbw.eu/10010243653