Measuring and trading volatility on the US stock market: A regime switching approach
| Year of publication: |
2018
|
|---|---|
| Authors: | Dapena, José P. ; Serur, Juan A. ; Siri, Julián R. |
| Publisher: |
Buenos Aires : Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA) |
| Subject: | Realized volatility | expectedvolatility | volatilitypremium | regime switching | excessreturns | hiddenmarkovmodel | VIX |
| Series: | |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Working Paper |
| Language: | English |
| Other identifiers: | 1032219653 [GVK] hdl:10419/203800 [Handle] |
| Classification: | C1 - Econometric and Statistical Methods: General ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; N2 - Financial Markets and Institutions ; G11 - Portfolio Choice |
| Source: |
Persistent link: https://www.econbiz.de/10012099685