Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024)
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scientific article; zbMATH DE number 6845827
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| English | Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure |
scientific article; zbMATH DE number 6845827 |
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Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (English)
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1 March 2018
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Markov-switching
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regime-switching
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GARCH
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particle filtering
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path dependence
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collapsing
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0.9547526
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0.9087819
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0.90446883
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0.9020037
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0.89301586
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0.88874596
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