Selection criteria in regime switching conditional volatility models
Year of publication: |
2015
|
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Authors: | Chuffart, Thomas |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 3.2015, 2, p. 289-316
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Subject: | conditional volatility | model selection | GARCH | regime switching | Volatilität | Volatility | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Modellierung | Scientific modelling | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics3020289 [DOI] hdl:10419/171828 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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