Volatility comovement: a multifrequency approach (Q292013)
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scientific article; zbMATH DE number 6591965
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| English | Volatility comovement: a multifrequency approach |
scientific article; zbMATH DE number 6591965 |
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Volatility comovement: a multifrequency approach (English)
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10 June 2016
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multivariate MSM
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maximum likelihood
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particle filter
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Markov-switching
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stochastic volatility
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multifrequency volatility decomposition
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value-at-risk
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quantile forecasts
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0.799820065498352
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0.7714310884475708
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0.767143189907074
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0.764419674873352
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