Viterbi-Based Estimation for Markov Switching GARCH Model (Q5363199)
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scientific article; zbMATH DE number 6786533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Viterbi-Based Estimation for Markov Switching GARCH Model |
scientific article; zbMATH DE number 6786533 |
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Viterbi-Based Estimation for Markov Switching GARCH Model (English)
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5 October 2017
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volatility
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regime switching
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GARCH
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Viterbi algorithm
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reference probability
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filter
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maximum likelihood estimation
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value at risk
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