Markov Switching Dynamic Multivariate GARCH Models for Hedging on Foreign Exchange Market.

Pichayakone Rakpho Woraphon Yamaka Songsak Sriboonchitta

Published in: ECONVN (2019)

Keyphrases

foreign exchange
exchange rate
stock market
early warning
garch model
stock price
financial markets
management system
option pricing
conditional independence
multivariate time series
long run
decision making
bayesian framework
text mining
principal component analysis
feature space
data analysis