A simulation study on the Markov regime-switching zero-drift GARCH model (Q6148769)
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scientific article; zbMATH DE number 7801426
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simulation study on the Markov regime-switching zero-drift GARCH model |
scientific article; zbMATH DE number 7801426 |
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A simulation study on the Markov regime-switching zero-drift GARCH model (English)
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8 February 2024
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volatility modelling
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zero-drift GARCH
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regime switching
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heteroskedasticity
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