Multivariate Volatility clustering based on a class of multivariate hidden markov models

Mohamad Khaled 1
1 CES - Centre d'économie de la Sorbonne
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Conference papers
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https://hal-paris1.archives-ouvertes.fr/hal-00318135
Contributor : Mohamad Khaled <>
Submitted on : Wednesday, September 3, 2008 - 6:15:25 PM
Last modification on : Tuesday, January 30, 2018 - 5:50:02 PM

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Mohamad Khaled. Multivariate Volatility clustering based on a class of multivariate hidden markov models. RTN Meeting, Dec 2007, Amsterdam, Netherlands. ⟨hal-00318135⟩

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