Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence
Lingbing Feng, Yanlin Shi
| Year of publication: |
2020
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|---|---|
| Authors: | Feng, Lingbing ; Shi, Yanlin |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 24.2020, 1, p. 1-27
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| Subject: | fat-tailed distribution | regime-switching | tempered stable distribution | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain | Simulation | Optionspreistheorie | Option pricing theory | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012198500