On the link between volatilities, regime switching probabilities and correlation dynamics
Jean-David Fermanian and Hassan Malongo
| Year of publication: |
2018
|
|---|---|
| Authors: | Fermanian, Jean-David ; Malongo, Hassan |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 131.2018, p. 1-24
|
| Subject: | Dynamic Correlations | Multivariate GARCH Models | Regime-Switching | Volatility | Volatilität | ARCH-Modell | ARCH model | Korrelation | Correlation | Markov-Kette | Markov chain | Theorie | Theory |
| 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://ebvufind01.dmz1.zbw.eu/10011995894