Regime-switching in volatility and correlation structure using range-based models with Markov-switching

✍ Scribed by Miao, Daniel Wei-Chung; Wu, Chun-Chou; Su, Yi-Kai

• Book ID: 121499197
• Publisher: Elsevier Science
• Year: 2013
• Tongue: English
• Weight: 476 KB
• Volume: 31
• Category: Article
• ISSN: 0264-9993
• DOI: 10.1016/j.econmod.2012.11.013