A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
type: Item
instance of: scholarly article
title: A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
zbMATH Open document ID: 1463.62266
author: Yujin Kim
author: Eunju Hwang
published in: Statistics \& Probability Letters
publication date: 2018-06-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 60J10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6892192
zbMATH Keywords: regime-switching GARCH process
zbMATH Keywords: volatility
zbMATH Keywords: forecasting
zbMATH Keywords: cumulative impulse response
MaRDI profile type: Publication
full work available at URL: j.spl.2018.02.059
OpenAlex ID: W2795602746
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cites work: Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
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Wikidata QID: Q130036888
DOI: 10.1016/J.SPL.2018.02.059
description: scientific article; zbMATH DE number 6892192