Volatility of Corn Futures with Markov Regime Switching GARCH Model
Analýza volatility futures na kukuricu na základe použitia jednorozmerného tradičného modelu GARCH a dvojrežimového modelu MS GARCH. Skúmanie, či je načasovanie prepínačov volatility v modeli MS GARCH v súlade s bežne známymi turbulentnými problémami, ako je napríklad COVID-19 a vypuknutie vojny na...
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| Format: | Book Chapter |
| Language: | English |
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