High-frequency volatility modeling: A Markov-Switching Autoregressive Conditional Intensity model (2021)
Abstract
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Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.jedc.2021.104077
Publication URI: http://dx.doi.org/10.1016/j.jedc.2021.104077
Type: Journal Article/Review
Parent Publication: Journal of Economic Dynamics and Control