Volatility Forecasting with Double Markov Switching GARCH Models
Year of publication: |
2009
|
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Authors: | Chen, Cathy W. S. |
Other Persons: | So, Mike K. P. (contributor) ; Lin, Edward M.H. (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Volatilität | Volatility | Markov-Kette | Markov chain | Risikomaß | Risk measure | Heteroskedastizität | Heteroscedasticity |
Extent: | 1 Online-Ressource (21 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 27, 2009 erstellt |
Other identifiers: | 10.2139/ssrn.1410581 [DOI] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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