A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

DOI10.1515/snde-2016-0019OpenAlexW2806985422WikidataQ129756850 ScholiaQ129756850MaRDI QIDQ2691761

Markus Haas, Ji-Chun Liu

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0019

zbMATH Keywords

multivariate GARCHMarkov-switchingconditional volatilitycovariance forecasts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Stock volatility predictability in bull and bear markets ⋮ Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns

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