Multi-Regime Smooth Transition Stochastic Volatility Models for Financial Time Series
Stochastic volatility (SV) models effectively capture the time-varying variance in financial time series, and regime-switching SV models further enhance flexibility by adapting to changing market conditions. However, these models often fail to account for the asymmetric response of volatility to lar...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2025-12-01
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| Series: | Data Science in Science |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/26941899.2025.2517013 |
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