Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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Publication:3368403
DOI10.2202/1558-3708.1145zbMath1081.91535OpenAlexW2054484691MaRDI QIDQ3368403
Publication date: 27 January 2006
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1145
ForecastingVolatilityForecast EvaluationMarkov Regime-Switching GARCHRisk-management Value-at-Risk-based loss functions
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