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ECONIS (ZBW)
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A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
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2015
Persistent link: https://www.econbiz.de/10010514600
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Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima
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2013
Persistent link: https://www.econbiz.de/10009782698
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3
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
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2011
Persistent link: https://www.econbiz.de/10009382620
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