Work

Theory and Inference for a Markov Switching GARCH Model

Year: 2007

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1011623

Authors: Luc Bauwens, Arie Preminger, Jeroen Rombouts

Institutions: UCLouvain, University of Haifa, HEC Montréal, Center for Interuniversity Research and Analysis on Organizations

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2116582303

Cites: 55

Cited by: 41

Related to: 10