Volatility clustering in the presence of time-varying model parameters (Q5128972)
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scientific article; zbMATH DE number 7265838
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| English | Volatility clustering in the presence of time-varying model parameters |
scientific article; zbMATH DE number 7265838 |
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Volatility clustering in the presence of time-varying model parameters (English)
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26 October 2020
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clustering
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Markov switching
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smooth transition
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time-varying parameters
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unconditional volatility
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0.7893279790878296
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0.7698801159858704
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0.7359054684638977
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0.7287437319755554
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0.72763991355896
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