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RATS programs to replicate Gray's 1996 Regime Switching GARCH paper

Author

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  • Tom Doan

    () (Estima)

Abstract

Replicates work on Markov-switching GARCH models from Gray(1996), "Modeling the conditional distribution of interest rates as a regime-switching process", J. of Financial Economics, vol 42, pp 27-62. Makes extensive use of the functions on markov.src.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Gray's 1996 Regime Switching GARCH paper," Statistical Software Components RTZ00080, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00080
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/grayjfe1996.zip
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    Cited by:

    1. Mozaffari, Samaneh & Nateghi, Mohammad Reza & Zarandi, Mahmood Borhani, 2017. "An overview of the Challenges in the commercialization of dye sensitized solar cells," Renewable and Sustainable Energy Reviews, Elsevier, vol. 71(C), pages 675-686.

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    Keywords

    Markov switching GARCH model;

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