Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution

DOI10.1515/SNDE-2021-0101MaRDI QIDQ6553225zbMATH OpenFDO

Authors Szabolcs Blazsek, Michel Ferreira Cardia Haddad

Publication date 11 June 2024

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

Full work available at URL https://doi.org/10.1515/SNDE-2021-0101

zbMATH Keywords

dynamic conditional scoreexponential generalized autoregressive conditional heteroskedasticity (EGARCH)generalized autoregressive scoreMarkov regime-switching

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• Theory and inference for a Markov switching GARCH model
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• Topics on Meixner families
• Volatility modeling with a generalized t distribution

Cited in

(1)

• Volatility forecasting using quasi-score-driven models with an application to the coronavirus pandemic period

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