Long memory and regime switching in the stochastic volatility modelling

DOI10.1007/s10479-020-03841-zOpenAlexW3095678762MaRDI QIDQ2678633

Yanlin Shi

Publication date: 23 January 2023

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03841-z

zbMATH Keywords

stochastic volatilityregime switchinglong memoryMCMC

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Uses Software

• cpm

Cites Work

• Unnamed Item
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