QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
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Publication:2063074
DOI10.1007/s40304-019-00197-0zbMath1477.62234OpenAlexW2981230061WikidataQ127031702 ScholiaQ127031702MaRDI QIDQ2063074
Publication date: 10 January 2022
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40304-019-00197-0
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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