Maximum likelihood estimation of the Markov-switching GARCH model
type: Item
instance of: scholarly article
title: Maximum likelihood estimation of the Markov-switching GARCH model
zbMATH Open document ID: 1506.62013
author: Maciej Augustyniak
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6983965
zbMATH Keywords: Markov-switching
zbMATH Keywords: GARCH
zbMATH Keywords: EM algorithm
zbMATH Keywords: importance sampling
describes a project that uses: Rcpp
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: j.csda.2013.01.026
OpenAlex ID: W1971782743
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DOI: 10.1016/J.CSDA.2013.01.026
description: scientific article; zbMATH DE number 6983965