High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
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Publication:2246711
DOI10.1016/j.jedc.2021.104077zbMath1475.91342OpenAlexW3121354608MaRDI QIDQ2246711
Sandra Nolte, Yifan Li, Ingmar Nolte
Publication date: 16 November 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104077
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
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