High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711)

From MaRDI portal
scientific article
Language Label Description Also known as
English
High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
scientific article

    Statements

    High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (English)
    0 references
    0 references
    0 references
    0 references
    16 November 2021
    0 references
    regime switch
    0 references
    intensity modeling
    0 references
    invariance
    0 references
    stock return volatility
    0 references
    0 references
    0 references

    Identifiers