Modeling persistence and long memory under the impact of regime shifts in the PIGS stock market
Dilip Kumar; S. Maheswaran
| Year of publication: |
2013
|
|---|---|
| Authors: | Kumar, Dilip ; Maheswaran, S. |
| Published in: |
Decision. - Calcutta : Inst., ISSN 0304-0941, ZDB-ID 196771-X. - Vol. 40.2013, 1/2, p. 117-134
|
| Subject: | ICSS algorithm | GARCH class of models | Regime shifts | Volatility persistence | Volatility forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| 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/10010381136