Tracking Asset Volatility by Means of a Bayesian Switching Regression

• 1 June 1982
• journal article
• Published by JSTOR in Journal of Financial and Quantitative Analysis
• Vol. 17  (2) , 241
• https://doi.org/10.2307/2330849

Abstract

Keywords

• BAYESIAN SWITCHING
• SWITCHING REGRESSION
• ASSET VOLATILITY
• TRACKING ASSET
• VOLATILITY BY MEANS