A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices (Q5093213)
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scientific article; zbMATH DE number 7563570
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices |
scientific article; zbMATH DE number 7563570 |
Statements
A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices (English)
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26 July 2022
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long-memory
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low-frequency volatility
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state-space models
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structural change
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