A time series analysis of major indexes using GARCH model with regime shifts
Year of publication: |
October 2017
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Authors: | Hassan, S. Aun |
Published in: |
International journal of financial research. - Toronto : Sciedu Press, ISSN 1923-4023, ZDB-ID 2611282-6. - Vol. 8.2017, 4, p. 127-133
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Subject: | volatility | regime shifts | GARCH | ICSS algorithm | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
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