Markov switching asymmetric GARCH model: stability and forecasting (Q779705)
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scientific article; zbMATH DE number 7220146
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| English | Markov switching asymmetric GARCH model: stability and forecasting |
scientific article; zbMATH DE number 7220146 |
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Markov switching asymmetric GARCH model: stability and forecasting (English)
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14 July 2020
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Markov switching
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leverage effect
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smooth transition
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DIC
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Bayesian inference
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griddy Gibbs sampling
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0.9035323858261108
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0.8256611227989197
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0.8141446113586426
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0.8041130304336548
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0.8037475943565369
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