Markov switching asymmetric GARCH model: stability and forecasting

N. Alemohammad | S. Rezakhah | S. H. Alizadeh

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URL :   http://research.shahed.ac.ir/WSR/WebPages/Report/PaperView.aspx?PaperID=84914
Date :  2018/03/10
Publish in :    Statistical Papers
DOI :  https://doi.org/10.1007/s00362-018-0992-2
Link :  https://doi.org/10.1007/s00362-018-0992-2
Keywords :asymmetric, GARCH, stability

Abstract :

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