RATS programs to replicate Dueker(1997) Markov switching GARCH models
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Other versions of this item:
- Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
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KeywordsMS GARCH model; Markov switching GARCH;
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