A Markov Model of Switching-Regime ARCH
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
Reference30 articles.
1. On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
2. Rational response to unprecedented policies: The 1979 change in federal reserve operating procedures
3. ARCH modeling in finance
4. Modelling the persistence of conditional variances
5. Estimation of the Optimal Futures Hedge
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