Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Guangyuan Gao, Kin-Yip Ho, Yanlin Shi
| Year of publication: |
2020
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|---|---|
| Authors: | Gao, Guangyuan ; Ho, Kin-Yip ; Shi, Yanlin |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 61.2020, p. 1-20
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| Subject: | GARCH | Long memory | Long-memory | MRS-LMGARCH | Regime switching | Volatility modelling | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | USA | United States | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Schätzung | Estimation | Markov-Kette | Markov chain | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2018.08.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012494892