Component-driven regime-switching volatility
Year of publication: |
2013
|
---|---|
Authors: | Fleming, Jeff ; Kirby, Chris |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 11.2013, 2, p. 263-301
|
Subject: | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model |
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