Article ID Journal Published Year Pages File Type
5054795 Economic Modelling 2013 7 Pages PDF
Abstract
► We propose Markov-switching range-based volatility and correlation models. ► We find regime-switching structures in both volatility and correlation processes. ► The arch-criminal for regime-change in concerned processes is the financial crises. ► The real time of regime-switching date for the concerned processes is presented.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Regime-switching in volatility and correlation structure using range-based models with Markov-switching
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