## Abstract The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameter
β¦ LIBER β¦
Principles of Financial Engineering || Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
β Scribed by Neftci, Salih N.
- Book ID
- 120582137
- Publisher
- Elsevier
- Year
- 2008
- Weight
- 264 KB
- Category
- Article
- ISBN
- 0123735742
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