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Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach (Q6641411)

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scientific article; zbMATH DE number 7947383
Language Label Description Also known as
English
Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach
scientific article; zbMATH DE number 7947383

    Statements

    title
    Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach (English)
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    author
    Giampiero M. Gallo
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    Edoardo Otranto
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    publication date
    20 November 2024
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    zbMATH Keywords
    common trend
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    Markov switching
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    multiplicative error model
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    smooth transition
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    volatility forecasting
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    volatility modelling
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    Identifiers

    zbMATH DE Number
    7947383
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    DOI
    10.1111/RSSC.12253
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