Stylized facts of daily return series and the hidden Markov model

Journal of Applied Econometrics

Volumn 13, Issue 3, 1998, Pages 217-244

  Rydén, Tobias ^a   Teräsvirta, Timo ^b   Åsbrink, Stefan ^c  

^a LUND UNIVERSITY   (Sweden)

^b STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^c Trygg Hansa   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039065317     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199805/06)13:3<217::AID-JAE476>3.0.CO;2-V     Document Type: Article

References (23)

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