Volatility Regimes of Selected Central European Stock Returns: A Markov Switching Garch Approach
Skúmanie týždenných údajov o akciovom trhu maďarského akciového indexu BUX, českého akciového indexu PX a poľského akciového indexu WIG20 v období rokov 2001 - 2021. Analýza správania výnosov a volatility akciových trhov. Tradičné modely typu GARCH a dvojrežimové modely Markov Switching GARCH type m...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Capitolo di libro |
| Lingua: | inglese |
| Soggetti: | |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
Documenti analoghi: Volatility Regimes of Selected Central European Stock Returns: A Markov Switching Garch Approach
- Volatility of Corn Futures with Markov Regime Switching GARCH Model
- Modelling of PX Stock Returns during Calm and Crisis Periods: A Markov Switching Approach
- Regime Switching Behaviour of Selected European Stock Market Returns
- Czech Stock Market Volatility Before and During the Covid-19 Crisis
- Regime-Dependent Effects of Uncertainty Shocks. A Markov-Switching Approach for Central Eastern European Countries
- Copula Approach to Market Volatility and Technology Stocks Dependence