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Modeling Stock Returns Volatility Using Regime Switching Models
(MksU Press, 2021-06)
This paper seeks to model the dynamic relationship between stock market returns, volatility and
trading volume in both developed and emerging stock markets. Modeling stock returns volatility
has a tremendous reflection ...
Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic
(MksU Press, 2021-06)
Detection of structural change in volatility of a time series is very important for understanding
volatility dynamics and the stylized facts observed in financial time series. By applying the
Nadaraya Watson kernel ...