A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

DOI10.1080/14697688.2015.1015599zbMath1468.91153OpenAlexW2060407557MaRDI QIDQ5001140

Gerrit Reher, Bernd Wilfling

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1015599

zbMATH Keywords

Markov-switching modelsGARCH modelsvolatility forecastingdynamics of stock-index returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Related Items

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Uses Software

• NMOF

Cites Work

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