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The results for the model without predator switching are consistent with the results of Gardner and Ashby [7] and May [8,9] who found, using a similar random matrix model, that
Fiorentini and Sentana also suggest estimating additional shape parameters together with model parameters, which might improve the efficiency compared with using a prespecified
The empirical results with two realized volatility measures and daily returns for five stock indices show the feasibility of the realized BCSV model and demonstrate that the
The proposed model is in sharp contrast with the commonly used time series models and the regime- switching model of Hamilton (1989), in that it is capable of describing both
This article proposes a novel stochastic volatility (SV) model that draws from the existing literature on autoregressive SV models, aggregation of autoregressive processes, and
In the first part of the arti- cle, we propose a new reduced-form model in discrete time , the Leverage Heterogeneous Auto-Regressive with Continuous volatility and Jumps
"Indonesian Financial Crisis Prediction Using Combined Volatility and Markov Regime Switching Model Based on. Indicators of Real Interest Rate on
Dynamic Feedback Effect And Skewness In Non-Stationary Stochastic Volatility Model With Leverage Sujay K Mukhoti∗ Indian Institute of Management, Kozhikode IIMK PO, Kozhikode; Kerala-
