A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Year of publication: |
2022
|
---|---|
Authors: | Bu, Ruijun ; Cheng, Jie ; Jawadi, Fredj |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 4, p. 3881-3896
|
Subject: | endogeneity | fat tails | latent factor | non-Gaussian process | regime switching | Theorie | Theory | Simulation | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Volatilität | Volatility |
-
Bayesian estimation of non-Gaussian stochastic volatility models
Elabed, Asma Graja, (2014)
-
Trojan, Sebastian, (2013)
-
Flexible modeling of dependence in volatility processes
Kalli, Maria, (2015)
- More ...
-
Bu, Ruijun, (2020)
-
Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun, (2016)
-
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun, (2017)
- More ...