Volatility dependences of stock markets with structural breaks
Jiawen Luo and Langnan Chen
| Year of publication: |
2018
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|---|---|
| Authors: | Luo, Jiawen ; Chen, Langnan |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 17, p. 1727-1753
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| Subject: | high-frequency data | Markov process | Realised volatility dependence | structural breaks | VHARCJ-DCC model | Strukturbruch | Structural break | Volatilität | Volatility | Aktienmarkt | Stock market | Theorie | Theory | Markov-Kette | Markov chain | Börsenkurs | Share price | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2018.1476394 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012259100