Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure

DOI10.1007/s11009-016-9541-4zbMath1392.62260OpenAlexW3123271738MaRDI QIDQ1703024

Manuel Morales, Maciej Augustyniak, Mathieu Boudreault

Publication date: 1 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-016-9541-4

zbMATH Keywords

GARCHcollapsingparticle filteringregime-switchingMarkov-switchingpath dependence

Mathematics Subject Classification ID

Related Items (5)

Statistical inference for mixture GARCH models with financial application ⋮ Volatility GARCH models with the ordered weighted average (OWA) operators ⋮ Markov Switching GARCH Models: Filtering, Approximations and Duality ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ On classifying the effects of policy announcements on volatility

Uses Software

• R
• Rsolnp

Cites Work

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