Regime-switching in volatility and correlation structure using range-based models with Markov-switching
Daniel Wei-Chung Miao; Chun-Chou Wu; Yi-Kai Su
| Year of publication: |
2013
|
|---|---|
| Authors: | Miao, Daniel Wei-Chung ; Wu, Chun-chou ; Su, Yi Kai |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 31.2013, p. 87-93
|
| Subject: | Range-based model | Markov-switching method | Volatility | Correlation | Volatilität | Markov-Kette | Markov chain | Korrelation | Theorie | Theory | ARCH-Modell | ARCH model |
| 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://ebvufind01.dmz1.zbw.eu/10009725779