Viterbi-Based Estimation for Markov Switching GARCH Model (Q5363199)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Viterbi-Based Estimation for Markov Switching GARCH Model |
scientific article; zbMATH DE number 6786533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viterbi-Based Estimation for Markov Switching GARCH Model |
scientific article; zbMATH DE number 6786533 |
Statements
Viterbi-Based Estimation for Markov Switching GARCH Model (English)
0 references
5 October 2017
0 references
volatility
0 references
regime switching
0 references
GARCH
0 references
Viterbi algorithm
0 references
reference probability
0 references
filter
0 references
maximum likelihood estimation
0 references
value at risk
0 references
