Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model

DOI10.1080/02664760902939638OpenAlexW2001388783MaRDI QIDQ5123604

Ming-Yuan Leon Li, Chun-Nan Chen

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902939638

zbMATH Keywords

volatilityoption marketMarkov-switchingerror correction model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

A dynamic analysis of stock markets using a hidden Markov model

Cites Work

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