Forecasting realised volatility using regime-switching models
Yi Ding, Dimos Kambouroudis, David G. McMillan
| Year of publication: |
2025
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| Authors: | Ding, Yi ; Kambouroudis, Dimos ; McMillan, David G. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 101.2025, Art.-No. 104171, p. 1-19
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| Subject: | Expected shortfall | Non-linearity | Realised volatility | Regime switching | Value at risk | Volatilität | Volatility | Risikomaß | Risk measure | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Theorie | Theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2025.104171 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015459389