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Mitigating the choice of the duration in DDMS models through a parametric link

  • Author
  • Fernando Henrique de Paula e Silva Mendes
  • Co-authors
  • Douglas Eduardo Turatti , Guilherme Pumi
  • Abstract
  • Keywords
  • Duration Dependence, Markov-switching model, Parametric Link, Volatility Forecasting.
  • Modality
  • Comunicação oral
  • Subject Area
  • ESTE 2023
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Reference

MENDES, Fernando Henrique de Paula E Silva; TURATTI, Douglas Eduardo; PUMI, Guilherme. Mitigating the choice of the duration in DDMS models through a parametric link. In: ESTE 2023 - Hotel Torres da Cachoeira, 2023. Available in: <https://doity.com.br/anais/este-2023/trabalho/287126>. Available in: 19/12/2024 at 03:56

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