A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Year of publication: |
2019
|
---|---|
Authors: | Díaz-Hernández, Adán ; Constantinou, Nick |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 162-180
|
Subject: | GARCH | Option valuation | Regime-switching | Risk measurement | Volatility forecast | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
-
Huang, Yirong, (2024)
-
Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail, (2019)
-
Nooijen, Steven J., (2016)
- More ...
-
Díaz-Hernández, Adán, (2008)
-
Analysis of ultra-high-frequency financial data using advanced Fourier transforms
Giampaoli, Iacopo, (2009)
-
Credit risk contagion and the global financial crisis
Takeyama, Azusa, (2012)
- More ...