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Theory and inference for a Markov switching GARCH model

2010; Oxford University Press; Volume: 13; Issue: 2 Linguagem: Inglês

10.1111/j.1368-423x.2009.00307.x

1368-423X

Luc Bauwens, Arie Preminger, Jeroen V.K. Rombouts,

Mathematical Dynamics and Fractals

Journal Article Theory and inference for a Markov switching GARCH model Get access Luc Bauwens, Luc Bauwens Université catholique de Louvain, CORE, B‐1348 Louvain‐La‐Neuve, Belgium. Search for other works by this author on: Oxford Academic Google Scholar Arie Preminger, Arie Preminger Department of Economics, University of Haifa, 31905, Israel. Search for other works by this author on: Oxford Academic Google Scholar Jeroen V. K. Rombouts Jeroen V. K. Rombouts Université catholique de Louvain, CORE, B‐1348 Louvain‐La‐Neuve, Belgium. HEC Montréal and CIRPEE, 3000 Cote Sainte Catherine, Montréal (Quebec), Canada, H3T 2A7. CIRANO, 2020, University Street, 25th Floor, Montréal, Quebec, Canada, H3A 2A5. Search for other works by this author on: Oxford Academic Google Scholar The Econometrics Journal, Volume 13, Issue 2, 1 July 2010, Pages 218–244, https://doi.org/10.1111/j.1368-423X.2009.00307.x Published: 07 May 2010 Article history Received: 01 June 2008 Accepted: 01 November 2009 Published: 07 May 2010