Specification analysis in regime-switching continuous-time diffusion models for market volatility
Ruijun Bu, Jie Cheng and Kaddour Hadri
| Year of publication: |
Feb 2017
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| Authors: | Bu, Ruijun ; Cheng, Jie ; Hadri, Kaddour |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 1, p. 65-80
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| Subject: | constant elasticity volatility | endogeneity | maximum likelihood estimation | nonlinear diffusion | regime-switching model | volatility index | Volatilität | Volatility | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2016-0047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011650223