Measuring and trading volatility on the US stock market: A regime switching approach - José P. Dapena; Juan A. Serur; Julián R. Siri (Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA), 2018)
Keywords: C1; C3; N2; G11; 330; Realized volatility; expectedvolatility; volatilitypremium; regime switching; excessreturns; hiddenmarkovmodel; VIX