High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Yifan Li, Ingmar Nolte, Sandra Nolte
| Year of publication: |
2021
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|---|---|
| Authors: | Li, Yifan ; Nolte, Ingmar ; Nolte, Sandra |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 124.2021, p. 1-21
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| Subject: | Regime switch | Intensity modeling | Invariance | Stock return volatility | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2021.104077 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666459