A new hidden Markov-switching volatility model
The thesis proposes and applies a two-state hidden Markov-switching model for financial time series featured with periodic structure breaks in volatility. The expected return, volatility and state transition probability are determined by three link functions respectively, whose coefficients are furt...
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| Format: | Thesis |
| Language: | English |
| Published: |
2009
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| Online Access: | https://hdl.handle.net/10356/20675 |