Volatility clustering in the presence of time-varying model parameters

DOI10.1080/02664763.2012.759191OpenAlexW2071134057MaRDI QIDQ5128972

Edoardo Otranto

Publication date: 26 October 2020

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

Full work available at URL: https://doi.org/10.1080/02664763.2012.759191

zbMATH Keywords

clusteringtime-varying parametersMarkov switchingsmooth transitionunconditional volatility

Mathematics Subject Classification ID

Statistics (62-XX)

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