Volatility forecasting revisited using Markov-switching with time-varying probability transition
Year of publication: |
2022
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Authors: | Wang, Jiqian ; Ma, Feng ; Liang, Chao ; Chen, Zhonglu |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 1, p. 1387-1400
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Subject: | forecasting | realized volatility | heterogeneous autoregressive model | Markov-switching | time-varying transition probabilities | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Schätzung | Estimation | Wechselkurs | Exchange rate | Prognose | Forecast | Autokorrelation | Autocorrelation | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Börsenkurs | Share price |
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