An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading
This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances in random-length lumber futures trading. By assuming a two-regime context (a low <inline-formula><math xmlns=&q...
Main Authors: | Oscar V. De la Torre-Torres, José Álvarez-García, María de la Cruz del Río-Rama |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2024-02-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/12/3/485 |
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