ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH (Q4787562)
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scientific article; zbMATH DE number 1850000
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH |
scientific article; zbMATH DE number 1850000 |
Statements
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES: THE SIMULTANEOUS SWITCHING ARIMA APPROACH (English)
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7 January 2003
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stock prices
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simultaneous switching AR model
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conditional heteroskedasticity
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daily effect
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