Stylized facts of daily return series and the hidden Markov model

• 1 May 1998
• journal article
• Published by Wiley in Journal of Applied Econometrics
• Vol. 13  (3) , 217-244
• https://doi.org/10.1002/(sici)1099-1255(199805/06)13:3<217::aid-jae476>3.0.co;2-v

Abstract

Keywords

• MODEL
• RETURN SERIES
• GRANGER AND DING
• PRICE
• DAILY
• HIDDEN
• STYLIZED

All Related Versions

• Version 1, RePEc (Unconfirmed version)