Regime-switching in volatility and correlation structure using range-based models with Markov-switching
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- Henning Fischer & Ángela Blanco‐FERNÁndez & Peter Winker, 2016. "Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 113-146, March.
- Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
- repec:eee:ecmode:v:64:y:2017:i:c:p:349-356 is not listed on IDEAS
More about this item
KeywordsRange-based model; Markov-switching method; Volatility; Correlation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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