Modeling multiple regimes in financial volatility with a flexible coefficient GARCH (1,1) model
Year of publication: |
2009
|
---|---|
Authors: | Medeiros, Marcelo C. ; Veiga, Alvaro |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 25.2009, 1, p. 117-161
|
Subject: | Kapitalmarkttheorie | Financial economics | Volatilität | Volatility | ARCH-Modell | ARCH model |
-
Essays on realized volatility and jumps
Larson, Marcus, (2008)
-
Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo C., (2004)
-
Information dynamics in financial markets
Fontnouvelle, Patrick de, (2000)
- More ...
-
Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo, (2002)
-
Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo C., (2004)
-
A (semi-)parametric functional coefficient autoregressive conditional duration model
Fernandes, Marcelo, (2006)
- More ...