On the link between volatilities, regime switching probabilities and correlation dynamics
Year of publication: |
2018
|
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Authors: | Fermanian, Jean-David ; Malongo, Hassan |
Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 131.2018, p. 1-24
|
Subject: | Dynamic Correlations | Multivariate GARCH Models | Regime-Switching | Volatility | Theorie | Theory | Volatilität | ARCH-Modell | ARCH model | Korrelation | Correlation | Markov-Kette | Markov chain | Multivariate Analyse | Multivariate analysis |
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