A stochastic volatility model with Markov switching

Keyphrases

• Stochastic Volatility Model 100%
• Markov Switching 100%
• Copyright 50%
• Economic Recession 50%
• Crash 50%
• Volatility 50%
• Bayesian Estimation 50%
• Gibbs Sampling 50%
• Low Volatility 50%
• Weekly Returns 50%
• High Volatility 50%
• American Statistical Association 50%
• Regime Switching 50%
• Modeling Time 50%
• Switching Properties 50%
• First-order Markov Process 50%
• Volatility Regimes 50%
• Unobserved State Variables 50%
• Recession Period 50%
• Time-varying Volatility 50%
• Persistence in Volatility 50%

Mathematics

• Stochastic Volatility Model 100%
• Bayesian 50%
• Weekly Return 50%
• Markov Process 50%
• State Variable 50%