Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
type: Item
instance of: scholarly article
title: Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
zbMATH Open document ID: 1392.62260
author: Maciej Augustyniak
author: Mathieu Boudreault
author: Manuel Morales
published in: Methodology and Computing in Applied Probability
publication date: 2018-03-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6845827
zbMATH Keywords: Markov-switching
zbMATH Keywords: regime-switching
zbMATH Keywords: GARCH
zbMATH Keywords: particle filtering
zbMATH Keywords: path dependence
zbMATH Keywords: collapsing
describes a project that uses: R
describes a project that uses: Rsolnp
MaRDI profile type: Publication
full work available at URL: s11009-016-9541-4
OpenAlex ID: W3123271738
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DOI: 10.1007/S11009-016-9541-4
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description: scientific article; zbMATH DE number 6845827