Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach
Year of publication: |
September 2018
|
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Authors: | Song, Wonho ; Ryu, Doojin ; Webb, Robert I. |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 9, p. 1559-1571
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Subject: | Cross-market approach | Endogenous Markov-switching | Implied volatility index | VIX | VKOSPI | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | Schätzung | Estimation | Börsenkurs | Share price |
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