A simulation study on the Markov regime-switching zero-drift GARCH model (Q6148769)

From MaRDI portal
scientific article; zbMATH DE number 7801426
Language Label Description Also known as
English
A simulation study on the Markov regime-switching zero-drift GARCH model
scientific article; zbMATH DE number 7801426

    Statements

    A simulation study on the Markov regime-switching zero-drift GARCH model (English)
    0 references
    0 references
    8 February 2024
    0 references
    volatility modelling
    0 references
    zero-drift GARCH
    0 references
    regime switching
    0 references
    heteroskedasticity
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references