Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of the Markov-switching GARCH model |
scientific article |
Statements
Maximum likelihood estimation of the Markov-switching GARCH model (English)
0 references
23 November 2018
0 references
Markov-switching
0 references
GARCH
0 references
EM algorithm
0 references
importance sampling
0 references
0 references
0 references
0 references
0 references
0 references
0 references
