High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Year of publication: |
2021
|
---|---|
Authors: | Li, Yifan ; Nolte, Ingmar ; Nolte, Sandra |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 124.2021, p. 1-21
|
Subject: | Regime switch | Intensity modeling | Invariance | Stock return volatility | Theorie | Theory | Volatilität | Volatility | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
-
Idier, Julien, (2011)
-
Makatjane, Katleho, (2021)
-
Indicator for describing bull and bear markets : asymmetry and persistence perspective
Natthinee Thampanya, (2020)
- More ...
-
Sell-side analysts’ career concerns during banking stresses
Nolte, Ingmar, (2014)
-
How do individual investors trade?
Nolte, Ingmar, (2012)
-
How Do Individual Investors Trade?
Nolte, Ingmar, (2010)
- More ...