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Conditional Heteroskedasticity Driven by Hidden Markov Chains

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  • Christian Francq

    (Crest)

  • Michel Roussignol

    (Crest)

  • Jean-Michel Zakoïan

    (Crest)

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Bibliographic Info

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

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Date of creation: 1998
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Handle: RePEc:crs:wpaper:98-45

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Cited by:
  1. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series 2225, CESifo Group Munich.
  2. Azamo, Baudouin Tameze & Krämer, Walter, 2006. "Structural Change and long memory in the GARCH(1,1)-model," Technical Reports 2006,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  3. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and Inference for a Markov-Switching GARCH Model," Cahiers de recherche 0733, CIRPEE.
  4. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  5. Kramer, Walter & Azamo, Baudouin Tameze, 2007. "Structural change and estimated persistence in the GARCH(1,1)-model," Economics Letters, Elsevier, vol. 97(1), pages 17-23, October.
  6. Francq, Christian & ZakoI¨an, Jean-Michel, 2008. "Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3027-3046, February.

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