Conditional Heteroskedasticity Driven by Hidden Markov Chains (Q2740104)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional Heteroskedasticity Driven by Hidden Markov Chains |
scientific article |
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Conditional Heteroskedasticity Driven by Hidden Markov Chains (English)
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16 September 2001
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nonlinear time series
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ARCH models
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GARCH models
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hidden Markov chains
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switching models
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stationary solutions
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maximum likelihood
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consistency
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