IDEAS home Printed from https://ideas.repec.org/p/crs/wpaper/99-57.html
   My bibliography  Save this paper

Linear-Representations Based Estimation of Switching-Regime GARCH Models

Author

Listed:
  • Christian Francq

    (Crest)

  • Jean-Michel Zakoïan

    (Crest)

Abstract

No abstract is available for this item.

Suggested Citation

  • Christian Francq & Jean-Michel Zakoïan, 1999. "Linear-Representations Based Estimation of Switching-Regime GARCH Models," Working Papers 99-57, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:99-57
    as

    Download full text from publisher

    File URL: http://crest.science/RePEc/wpstorage/1999-57.pdf
    File Function: Crest working paper version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ryan Lemand, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, University Library of Munich, Germany, revised 07 Dec 2020.
    2. Ryan Lemand, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, University Library of Munich, Germany, revised 07 Dec 2020.
    3. PERRON, Benoît, 1999. "Jumps in the Volatility of Financial Markets," Cahiers de recherche 9912, Universite de Montreal, Departement de sciences economiques.
    4. Ryan Lemand, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, University Library of Munich, Germany, revised 07 Dec 2020.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:99-57. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Secretariat General (email available below). General contact details of provider: https://edirc.repec.org/data/crestfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.