QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074)
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scientific article; zbMATH DE number 7454730
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| English | QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes |
scientific article; zbMATH DE number 7454730 |
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QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (English)
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10 January 2022
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MS-TGARCH model
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strict stationarity
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strong consistency
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0.8609604835510254
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0.8392355442047119
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0.8279548287391663
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0.8190336227416992
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