Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632)
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scientific article; zbMATH DE number 5564685
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| English | Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference |
scientific article; zbMATH DE number 5564685 |
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Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (English)
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12 June 2009
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ARMA representation
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GARCH
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GMM procedure
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HMM
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Markov-switching models
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0.849066436290741
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0.8377258777618408
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0.8336136937141418
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0.8213358521461487
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0.8171780109405518
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