Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX
We adopt a regime switching approach to study concrete financial time series with particular emphasis on their volatility characteristics considered in a space-time setting. In particular the volatility parameter is treated as an unobserved state variable whose value in time is given as the outcome...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/753852 |
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