The autocorrelation function behavior of regime switching models: an empirical approach
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Publication:392531
DOI10.4314/AFST.V8I1.3zbMath1291.91175OpenAlexW1925450997MaRDI QIDQ392531
Souleymane Fofana, Abdou Kâ Diongue
Publication date: 14 January 2014
Published in: Afrika Statistika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4314/afst.v8i1.3
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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