Multivariate Volatility clustering based on a class of multivariate hidden markov models - Université Paris 1 Panthéon-Sorbonne Access content directly
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Multivariate Volatility clustering based on a class of multivariate hidden markov models

Mohamad Khaled
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Centre d'économie de la Sorbonne

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Economics and Finance

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https://hal-paris1.archives-ouvertes.fr/hal-00318129

Submitted on : Wednesday, September 3, 2008-6:13:46 PM

Last modification on : Thursday, April 6, 2023-10:50:09 AM

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hal-00318129 , version 1 (03-09-2008)

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  • HAL Id : hal-00318129 , version 1

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Mohamad Khaled. Multivariate Volatility clustering based on a class of multivariate hidden markov models. EC2, Dec 2007, Faro, Portugal. ⟨hal-00318129⟩

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