Regime-Switching Fractionally Integrated Asymmetric Power Neural Network Modeling of Nonlinear Contagion for Chaotic Oil and Precious Metal Volatilities
This paper aims at analyzing nonlinear dependence between fractionally integrated, chaotic precious metal and oil prices and volatilities. With this respect, the Markov regime-switching fractionally integrated asymmetric power versions of generalized autoregressive conditional volatility copula (MS-...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/6/12/703 |