Volatility estimation via hidden Markov models

Journal of Empirical Finance

Volumn 13, Issue 2, 2006, Pages 203-230

  Rossi, Alessandro ^a   Gallo, Giampiero M ^b  

^a JOINT RESEARCH CENTRE   (Italy)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

Forecasting; GARCH; Markov chain; Stochastic volatility; SWARCH

Indexed keywords

EID: 33344465063     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2005.09.003     Document Type: Article

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