Optimal test for Markov switching GARCH models

DOI10.2202/1558-3708.1528MaRDI QIDQ3574723zbMATH OpenOpenAlexFDO

Authors Liang Hu, Yongcheol Shin

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1528

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(4)

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