A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model

DOI10.1080/07350015.2017.1415910MaRDI QIDQ6634899zbMATH OpenFDO

Authors Maciej Augustyniak, Luc Bauwens, Arnaud Dufays

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2017.1415910

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Markov model for switching regressions
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A multiple indicators model for volatility using intra-daily data
• Factorial hidden Markov models
• Generalized autoregressive conditional heteroscedasticity
• Long memory and regime switching
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• Marginal likelihood for Markov-switching and change-point GARCH models
• Markov chain models, time series analysis and extreme value theory
• The hierarchical hidden Markov model: Analysis and applications
• Volatility comovement: a multifrequency approach

Cited in

(1)

• Identifying the volatility risk price through the leverage effect

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