Markov switching asymmetric GARCH model: stability and forecasting
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DOI: 10.1007/s00362-018-0992-2
Abstract: A new Markov switching asymmetric GARCH model is proposed where each state follows the smooth transition GARCH model, represented by Lubrano (Recherches Economiques de Louvain 67:257–287, 2001 ), that follows a logistic smooth transition structure… read more here.
Keywords: garch; switching asymmetric; garch model; asymmetric garch ... See more keywords