A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model

Maciej Augustyniak, Luc Bauwens and Arnaud Dufays ()
Additional contact information
Arnaud Dufays: ULaval - Université Laval [Québec]

Post-Print from HAL

Date: 2018-06-04
References: Add references at CitEc
Citations:

Published in Journal of Business and Economic Statistics, 2018, 37 (4), pp.696-709. ⟨10.1080/07350015.2017.1415910⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05783312

DOI: 10.1080/07350015.2017.1415910

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().