Market regime detection via realized covariances
Year of publication: |
2022
|
---|---|
Authors: | Bucci, Andrea ; Ciciretti, Vito |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 111.2022, p. 1-15
|
Subject: | Hierarchical clustering | Nonlinear models | Realized volatility | Regime detection | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Nichtlineare Regression | Nonlinear regression | Korrelation | Correlation | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income |
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