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Reher et al., 2016 - Google Patents

A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

Reher et al., 2016

Document ID
4680661230231955726
Author
Reher G
Wilfling B
Publication year
Publication venue
Quantitative Finance

External Links

Snippet

In this paper, we establish a generalized two-regime Markov-switching GARCH model which enables us to specify complex (symmetric and asymmetric) GARCH equations that may differ considerably in their functional forms across the two Markov regimes. We show how …
Continue reading at www.tandfonline.com (other versions)

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