Regime-Switching and the Estimation of Multifractal Processes
收藏NBER2003-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9839
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资源简介：
We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth autoregressive
提供机构：
美国国家经济研究局
创建时间：
2003-07-01
