Within-regime volatility dynamics for observable- and Markov-switching score-driven models
Szabolcs Blazsek, Dejun Kong, Samantha R. Shadoff
| Year of publication: |
2025
|
|---|---|
| Authors: | Blazsek, Szabolcs ; Kong, Dejun ; Shadoff, Samantha R. |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 73.2025, Art.-No. 106631, p. 1-8
|
| Subject: | Dynamic conditional score (DCS) | Generalized autoregressive score (GAS) | Regime-switching volatility models | Standard & Poor’s 500 (S&P 500) | Volatilität | Volatility | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106631 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015210430