Forecasting realized range volatility : a regime-switching approach
Feng Ma, Li Liu, Zhichao Liu and Yu Wei
| Year of publication: |
2015
|
|---|---|
| Authors: | Ma, Feng ; Liu, Li ; Liu, Zhichao ; Wei, Yu |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 16/18, p. 1361-1365
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| Subject: | realized range-based volatility | Markov regime switching | forecast | Volatilität | Volatility | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Prognose | Forecast | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate |
| 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/10011380188