On the relationship between the prices of oil and the precious metals : revisiting with a multivariate regime-switching decision tree
Year of publication: |
2014
|
---|---|
Authors: | Charlot, Philippe ; Marimoutou, Vêlayoudom |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 44.2014, p. 456-467
|
Subject: | Multivariate GARCH | Dynamic correlations | Regime switching | Hidden Markov Decision Tree | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Korrelation | Correlation | Ölpreis | Oil price | Entscheidungsbaum | Decision tree | Preis | Price | Volatilität | Volatility | Schätzung | Estimation |
-
Block, Alexander Souza, (2015)
-
Chen, Rongda, (2019)
-
On the link between volatilities, regime switching probabilities and correlation dynamics
Fermanian, Jean-David, (2018)
- More ...
-
Charlot, Philippe, (2011)
-
Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.
Charlot, Philippe, (2008)
-
Charlot, Philippe, (2014)
- More ...