Volatility dependences of stock markets with structural breaks
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 | Volatilität | Volatility | Strukturbruch | Structural break | Markov-Kette | Markov chain | Aktienmarkt | Stock market | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation |
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