High-Frequency Volatility Modelling:A Markov-Switching Autoregressive Conditional Intensity Model

Li, Yifan and Nolte, Ingmar and Nolte, Sandra (2021) High-Frequency Volatility Modelling:A Markov-Switching Autoregressive Conditional Intensity Model. Journal of Economic Dynamics and Control. ISSN 0165-1889 (In Press)

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Item Type:
Journal Article
Journal or Publication Title:
Journal of Economic Dynamics and Control
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2604
Subjects:
ID Code:
151051
Deposited By:
Deposited On:
26 Jan 2021 16:45
Refereed?:
Yes
Published?:
In Press
Last Modified:
29 Jan 2021 21:15