Optimal Test for Markov Switching GARCH Models

DOI10.2202/1558-3708.1528zbMath1194.62102OpenAlexW1557247356MaRDI QIDQ3574723

Liang Hu, Yongcheol Shin

Publication date: 2 July 2010

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1528

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

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