MCMC Based Estimation of Markov Switching CARR Model
碩士 === 國立交通大學 === 財務金融研究所 === 95 === It is well know that volatility plays an important role in finance. Chou (2005) has proposed the CARR (Conditional Autoregressive Range) model as an alternative volatility model. Markov Switching models are a promising way to capture nonlinearities in time series...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/53145126574468084719 |