Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Jeroen V. K. Rombouts"'
Publikováno v:
Econometrics Journal. 13:218-244
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide su‐cient conditions for geometric ergodi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cfaa05dcc6f980d71dcd16fd32ab31d8
https://doi.org/10.1111/j.1368-423x.2009.00307.x
https://doi.org/10.1111/j.1368-423x.2009.00307.x
Autor:
Luc Bauwens, Jeroen V. K. Rombouts
Publikováno v:
Handbook of Computational Statistics ISBN: 9783642215506
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee9bcb0dce8c4fe1ba1f12d97cbd64d1
https://doi.org/10.1007/978-3-642-21551-3_35
https://doi.org/10.1007/978-3-642-21551-3_35
