Estimating value-a-risk via Markov switching ARCH models : an empirical study on stock index returns
Year of publication: |
2004
|
---|---|
Authors: | Li, Ming-yuan Leon ; Lin, Hsiou-wei William |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 11.2004, 11, p. 679-691
|
Subject: | Aktienindex | Stock index | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model |
-
Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A., (2020)
-
Stock market dynamics in a regime-switching asymmetric power GARCH model
Ané, Thierry, (2006)
-
Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G., (2015)
- More ...
-
The performance of the Markov-switching model on business cycle identification revisited
Li, Ming-yuan Leon, (2005)
-
Li, Ming-yuan Leon, (2003)
-
Li, Ming-Yuan Leon, (2003)
- More ...