Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
Year: 2018
Type: article
Source: Applied Economics
Authors: Szabolcs Blazsek, Han-Chiang Ho, Su-Ping Liu
Institutions: Universidad Francisco Marroquín, Wenzhou-Kean University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: closed
OpenAlex ID: W2888985402