RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model
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Other versions of this item:
- Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
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KeywordsMarkov switching ARCH model; RATS;
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