Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225)
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scientific article; zbMATH DE number 7863050
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| English | Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution |
scientific article; zbMATH DE number 7863050 |
Statements
Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (English)
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11 June 2024
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dynamic conditional score
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exponential generalized autoregressive conditional heteroskedasticity (EGARCH)
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generalized autoregressive score
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Markov regime-switching
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