𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Skew-Normal Mixture and Markov-Switching GARCH Processes

✍ Scribed by Haas, Markus


Book ID
121715385
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2010
Tongue
English
Weight
856 KB
Volume
14
Category
Article
ISSN
1081-1826

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Option pricing under Markov-switching GA
✍ Chao-Chun Chen; Ming-Yang Hung πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 161 KB

## Abstract This study proposes an __N__ ‐state Markov‐switching general autoregressive conditionally heteroskedastic (MS‐GARCH) option model and develops a new lattice algorithm to price derivatives under this framework. The MS‐GARCH option model allows volatility dynamics switching between differ

Volatility forecasting with double Marko
✍ Cathy W. S. Chen; Mike K. P. So; Edward M. H. Lin πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 251 KB

## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t