Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications (Q4719407)
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scientific article; zbMATH DE number 1383969
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications |
scientific article; zbMATH DE number 1383969 |
Statements
Markov processes and the distribution of volatility: a comparison of discrete and continuous specifications (English)
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27 June 2001
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conditional state probabilities
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foreign exchange volatility
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Leptokurtic return distributions
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Markov chain
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mixture distributions
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stochastic volatility
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