Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX

DOI10.1155/2014/753852zbMath1489.91312OpenAlexW2037036816WikidataQ59057066 ScholiaQ59057066MaRDI QIDQ5018126

Luca Di Persio, Samuele Vettori

Publication date: 15 December 2021

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/753852

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Parametric inference under constraints (62F30) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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