Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective? (Q6580679)
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scientific article; zbMATH DE number 7888876
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| English | Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective? |
scientific article; zbMATH DE number 7888876 |
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Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective? (English)
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29 July 2024
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cointegration
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error correction models
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stochastic volatility
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Bayesian methods
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conditional heteroskedasticity
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probabilistic forecasting
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density forecasts
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