Empirical analysis of stock indices under regime switching model with dependent jump sizes risk
碩士 === 國立政治大學 === 統計研究所 === 99 === Hamilton (1989) proposed Markov switching models to suppose the model parameters change with unobserved state variables which control the switch between states by Markov chain. It can be appropriate to grasp the financial and economic variables which facing structu...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97264206673712992895 |