Maximum likelihood estimation of the Markov-switching GARCH model
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Publication:1623509
DOI10.1016/J.CSDA.2013.01.026zbMath1506.62013OpenAlexW1971782743MaRDI QIDQ1623509
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.01.026
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)
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Uses Software
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