Probabilistic properties of a Markov-switching periodic GARCH process. (Q3297110)
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scientific article; zbMATH DE number 7217219
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| English | Probabilistic properties of a Markov-switching periodic GARCH process. |
scientific article; zbMATH DE number 7217219 |
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Probabilistic properties of a Markov-switching periodic GARCH process (English)
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2 July 2020
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Markov-switching models
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periodic GARCH models
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stationarity
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higher-order moments
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periodic Markov-switching MS-PGARCH models
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GMM method
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0.8425297737121582
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0.8416224718093872
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0.8312447667121887
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0.8106694221496582
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0.8044395446777344
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