Forecasting Stock Market Volatility with Regime-Switching GARCH Models (Q3368403)
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scientific article; zbMATH DE number 5002439
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| English | Forecasting Stock Market Volatility with Regime-Switching GARCH Models |
scientific article; zbMATH DE number 5002439 |
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Forecasting Stock Market Volatility with Regime-Switching GARCH Models (English)
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27 January 2006
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Markov Regime-Switching GARCH
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Volatility
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Forecasting
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Forecast Evaluation
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Risk-management Value-at-Risk-based loss functions
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0.9072689
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0.9031262
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0.8907434
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0.88864946
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0.88274825
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0.88254404
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