A stochastic volatility model with Markov switching
Year of publication: |
1998
|
---|---|
Authors: | So, Mike Ka-pui |
Other Persons: | Lam, Kin (contributor) ; Li, Wai Keung (contributor) |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 16.1998, 2, p. 244-253
|
Subject: | Volatilität | Volatility | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States | 1961-1987 |
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