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Conditional Heteroskedasticity Driven by Hidden Markov Chains

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Author Info
Christian Francq ; Michel Roussignol ; Jean-Michel Zakoïan (Crest)

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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 98-45.

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Handle: RePEc:crs:wpaper:98-45

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Keywords: optimal matching;

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  1. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques) 2007033, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  2. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  3. BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006. "Regime switching GARCH models," CORE Discussion Papers 2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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This page was last updated on 2009-11-25.

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