The frequency of regime switching in financial market volatility
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference45 articles.
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4. Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities;Anderson;Econometrica,2005
5. Detecting multiple breaks in financial market volatility dynamics;Andreou;J. Appl. Econ.,2002
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