A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424): Difference between revisions

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+Eun-Ju Hwang
@@ Property / author: Eun-Ju Hwang / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2018.02.059
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+W2795602746
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@@ Property / cites work @@
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+Theory and inference for a Markov switching GARCH model
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+Generalized autoregressive conditional heteroscedasticity
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
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+Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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+Persistent-threshold-GARCH processes: model and application
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+Q130036888
@@ Property / Wikidata QID: Q130036888 / rank @@
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