A component Markov regime‐switching autoregressive conditional range model

DOI10.1111/BOER.12314zbMath1503.91113OpenAlexW3202031347MaRDI QIDQ5870241

Richard D. F. Harris, Murat Mazibas

Publication date: 6 January 2023

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/boer.12314

zbMATH Keywords

GARCHfactor modelMarkov regime-switchingmultiplicative error modelintraday range

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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