Testing of binary regime switching models using squeeze duration analysis
Year of publication: |
2019
|
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Authors: | Das, Milan Kumar ; Goswami, Anindya |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 1, p. 1-20
|
Subject: | Empirical volatility | regime switching GBM | time series analysis | parameter inference | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Statistische Bestandsanalyse | Duration analysis | Schätzung | Estimation |
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