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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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Humanities and Social Sciences Economics and Finance

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https://hal-paris1.archives-ouvertes.fr/hal-00318135

Submitted on : Wednesday, September 3, 2008-6:15:25 PM

Last modification on : Friday, March 24, 2023-2:52:50 PM

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hal-00318135 , version 1 (03-09-2008)

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  • HAL Id : hal-00318135 , version 1

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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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