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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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Contributor : Mohamad Khaled <>
Submitted on : Wednesday, September 3, 2008 - 6:15:25 PM
Last modification on : Sunday, January 19, 2020 - 6:38:22 PM

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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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