An optimal investment model with Markov-driven volatilities
β Scribed by Luo, Shangzhen; Zeng, Xudong
- Book ID
- 120994827
- Publisher
- Taylor and Francis Group
- Year
- 2011
- Tongue
- English
- Weight
- 201 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1469-7688
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We consider a financial market consisting of a risky asset and a riskless one, with a constant or random investment horizon. The interest rate from the riskless asset is constant, but the relative return rate from the risky asset is stochastic with an unknown parameter in its distributi
## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fatβtailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t