Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations (Q3566441)
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scientific article; zbMATH DE number 5717881
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| English | Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations |
scientific article; zbMATH DE number 5717881 |
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Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations (English)
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8 June 2010
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asymmetry
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Bayesian
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GARCH
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Markov-switching
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SMI
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threshold
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0.90242946
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0.90155864
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0.8953554
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0.88868606
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0.8852745
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0.8838015
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0.88347983
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