Volatility forecasting revisited using Markov-switching with time-varying probability transition
Jiqian Wang, Feng Ma, Chao Liang, Zhonglu Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Jiqian ; Ma, Feng ; Liang, Chao ; Chen, Zhonglu |
| Subject: | forecasting | realized volatility | heterogeneous autoregressive model | Markov-switching | time-varying transition probabilities | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Schätzung | Estimation | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2221 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012815077